Treasury Secretary Steven Mnuchin still plans to attend a Saudi investment conference later this month, despite growing outrage over the disappearance of prominent Saudi journalist Jamal Khashoggi.

Several top executives and media companies, including CNBC, have announced they are pulling out of the Future Investment Initiative (FII) in Riyadh, scheduled for Oct. 23-25. It comes after allegations were made about the kingdom's connection to Khashoggi, who was last seen entering the Saudi consulate in Istanbul on Oct. 2.

Turkish authorities claim Saudi agents killed Khashoggi, whose columns in The Washington Post have been critical of the Saudi government.

Riyadh has denied killing Khashoggi, insisting he left the consulate shortly after he arrived.

"We are concerned about what is the status of Mr Khashoggi ," Mnuchin told CNBC's Geoff Cutmore on Friday. "If more information comes out and changes, we could look at that, but I am planning on going."