"Just met with @realDonaldTrump and @SecPompeo and we have decided, I will not be participating in the Future Investment Initiative summit in Saudi Arabia," Mnuchin wrote on Twitter after meeting with the president and secretary of state.
Secretary of State Mike Pompeo just returned from Saudi Arabia and briefed Trump on the status of the investigation into the journalist's disappearance in Turkey.
Trump has urged patience in the wake of U.S.-based Khashoggi's disappearance earlier this month during a visit to the Saudi consulate in Istanbul, and said he took the matter seriously.
U.S. Republic Senator Lindsey Graham, who has expressed outrage at the Saudi crown prince over the Khashoggi case, said Thursday he "very much" agreed with Mnuchin's withdrawal from the investment conference, adding that the Trump administration "made the right call."
"Saudi Arabia is a strategic ally, but the last thing we want to do is continue on with a 'Business as Usual' approach until the killing of Mr. Khashoggi is resolved," he said on Twitter.
Turkish officials have said they believe Khashoggi, a Washington Post columnist who was critical of the authoritarian kingdom's Crown Prince Mohammed bin Salman, was murdered inside the consulate. The Saudis have denied the allegations.
Mnuchin's announcement sent stocks tumbling on Wall Street.
His withdrawal comes after top financial, trade and foreign officials from Britain, France, Germany and the Netherlands also dropped out.
Goldman Sachs Group Inc will not send any of its executives to a Saudi investment conference next week, Chief Executive Officer David Solomon said in an interview with CNBC on Thursday.
"I was not planning to go and we had no senior executives going to the conference," he said. "Dina Powell had been planning to go to the conference. She will not now be attending the conference."
Earlier Thursday, French Finance Minister Bruno Le Maire added his name to the growing list of government ministers and prominent business executives canceling their attendance at the Saudi investment conference.
Le Maire said Saudi authorities needed to explain the disappearance of Khashoggi after he went to the Saudi consulate in Istanbul on Oct. 2.
"No, I will not be going," Le Maire told Public Senat TV. "The allegations are serious."
Paris and Riyadh enjoy close diplomatic ties and commercial relations spanning energy, finance and arms. Le Maire said he had informed his Saudi counterpart of his decision not to travel to Riyadh on Wednesday.
Asked if the move might jeopardize bilateral relations between the two countries, Le Maire said: "Absolutely not."
Dutch finance minister Wopka Hoekstra also scrapped plans Thursday to attend the conference in Riyadh, news agency ANP reported.
The Saudis have said they plan to move forward with the conference, scheduled for Oct. 23-25, despite a wave of cancellations by high-profile business, government and media leaders.
Christine Lagarde, the managing director of the International Monetary Fund (IMF), pulled out Wednesday.
The chief executives of HSBC, Standard Chartered, Credit Suisse and the London Stock Exchange, as well as the Chairman of BNP Paribas withdrew Tuesday.
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