He said Riyadh would "respond to any action with a bigger one", pointing out that the oil superpower "plays an effective and vital role in the world economy".
Khashoggi, a United States resident who writes columns for the Washington Post, disappeared on 2 October after visiting the consulate.
Turkey on Saturday stepped up pressure on Saudi Arabia by accusing the kingdom of failing to cooperate with a probe into the journalist's disappearance.
Turkey has yet to publish any evidence of him being slain, though surveillance footage around the consulate shows a convoy of vehicles with diplomatic license plates leaving the Saudi Consulate for the consul's home in Istanbul a little under two hours after Khashoggi's arrival.
On Saturday, the US President pledged to impose "severe punishment" on Saudi Arabia if it turns out that Riyadh is behind the disappearance of Saudi journalist Jamal Khashoggi who has been missing since October 2.
However, Mr Trump added the USA would be "punishing itself" if it cancelled military sales to Saudi Arabia over the disappearance of Mr Khashoggi.
The Tadawul exchange in Riyadh dropped by 7 percent at one point during the week's first day of trading, with 182 of its 186 listed stocks showing losses by the early afternoon.
Foreign capital is key to those plans.
Bloomberg, the Financial Times, The Economist and The New York Times have withdrawn as media sponsors from the event amid questions about the missing man's fate. Bernie Sanders said Sunday that if journalist Jamal Khashoggi was killed by Saudis, the U.S. should distance itself from the Middle Eastern kingdom and cut ties to the war in Yemen.
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Lionel Messi "is not a leader", Diego Maradona said of the current Argentina talisman in an interview in Mexico. A sterner test will take place on Tuesday when they face Brazil in Saudi Arabia - without Messi .
Trump has threatened "severe consequences" against Saudi Arabia but hasn't gone into details what that would entail.
"There's something really bad and disgusting about that, if that was the case, so we're going to have to see", Trump said.
Separately, sources inside Saudi Arabia said that any punitive measures directed its way would generate larger counter-measures.
"Obviously I want to express concern for Mr. Khashoggi and his family", he added.
"We've all heard a lot about the audio", Trump said.
A closed-circuit TV image of Jamal Khashoggi entering the Saudi consulate in Istanbul, Turkey, on October 2, 2018.
Kudlow on "This Week" underscored Trump's saying that the U.S.is being "very tough" in its investigation of what happened to Khashoggi, who has recently been living in the US and who went into the consulate for documents he needed to get married.
Also, anti-Saudi sentiment in the US Congress could conceivably raise pressure to pass the so-called No Oil Producing and Exporting Cartels Act, which would end sovereign immunity shielding OPEC members from US legal action. Saudi Arabia is leading a coalition of Gulf states in a military campaign against Iranian-backed Houthi rebels in Yemen.
If US sanctions are imposed on Saudi Arabia, we will be facing an economic disaster that would rock the entire world.