He said that Saudi Arabia had made investments in hotels, manufacturing and real estate in the USA and that cutting these would "hurt the United States economy significantly". The members arrived by unmarked police cars but said nothing to journalists waiting outside as they entered the building.
Manchester United did not comment on Monday night about reports that Saudi Arabia is interested in buying the club.
Khashoggi, a USA resident, Washington Post columnist and leading critic of Saudi crown prince Mohammed bin Salman, vanished after entering the Saudi consulate in Istanbul on October 2 to get marriage documents.
The Turkish government believes Khashoggi was killed and dismembered inside the consulate, and his body removed in suitcases or boxes. U.S. Secretary of State Mike Pompeo was dispatched to Riyadh, while in Istanbul, a team of investigators searched the consulate.
Turkish diplomatic sources had said the consulate would be searched by a joint Turkish-Saudi team.
"Trump accepting Saudi Arabia's Khashoggi story without a thorough, independent investigation only enables authoritarian behaviour", said Senator Ed Markey. But the careful wording appeared to leave open the possibility that Khashoggi died or was killed during an attempt to detain him, as some have speculated.
A Turkish forensic expert was seen on the roof close to the consulate's flag.
Experts now suspect that the Apple Watch recordings may have been fabricated by Turkish authorities to hide covert surveillance of the Saudi consulate, reports suggest.
As global pressure intensifies for answers from the Saudis, US President Donald Trump is sending his top diplomat, Secretary of State Mike Pompeo, to meet King Salman. "He didn't really know, maybe - I don't want to get into his mind but it sounded to me - maybe these could have been rogue killers".
Meanwhile, more leading business figures say they will not attend a major investment conference in Riyadh later this month. Pompeo is expected to go to Riyadh and later visit Turkey.
But he has said repeatedly that he does not want to halt a proposed $110 billion arms sale to Saudi Arabia - as some in Congress have said he should - because it would harm the USA economically.
On Monday, King Salman ordered an investigation into the case.
Already, worldwide business leaders are pulling out of the kingdom's upcoming investment forum, a high-profile event known as "Davos in the Desert", and the sell-off on Riyadh's Tadawul stock exchange showed that investors are uneasy.
Business barons including British billionaire Richard Branson and Uber CEO Dara Khosrowshahi, as well as media powerhouses Bloomberg and CNN, have pulled out of the Future Investment Initiative (FII). A spokesman for JPMorgan confirmed chief executive Jamie Dimon will no longer attend, but declined to say why.