Khashoggi, a U.S. resident and Washington Post columnist critical of Riyadh's policies, disappeared on Oct. 2 after entering the Saudi consulate in Istanbul. Turkey believes he was murdered and his body removed. Saudi Arabia has denied that.
U.S. President Donald Trump has threatened "severe punishment" if it turns out Khashoggi was killed in the consulate, though he said Washington would be "punishing" itself if it halted military sales to Riyadh.
"The Kingdom affirms its total rejection of any threats and attempts to undermine it, whether by threatening to impose economic sanctions, using political pressures, or repeating false accusations," the official Saudi Press Agency (SPA) quoted an unnamed official as saying.
"The Kingdom also affirms that if it receives any action, it will respond with greater action, and that the Kingdom's economy has an influential and vital role in the global economy," the official added, without elaborating.
The Saudi Embassy in Washington later tweeted what it called a clarification, thanking countries including the United States "for refraining from jumping to conclusions" over the case.
In a sign Saudi King Salman bin Abdulaziz Al Saud may seek a diplomatic solution to the incident, he stressed the strength of Saudi-Turkish ties in a telephone call with President Tayyip Erdogan of Turkey, the Saudi press agency said late on Sunday.
The king thanked Erdogan for welcoming a Saudi proposal to form a joint working group to discuss Khashoggi's disappearance and said no one could undermine their relationship.
EUROPE SEEKS CREDIBLE INVESTIGATION
Europe's largest economies -- Britain, France and Germany -- said on Sunday they were treating the case with "the utmost seriousness".