United Nations spokeswoman Ravina Shamdasani said the "apparent enforced disappearance" of Khashoggi is a matter of "deep concern" to the human rights office in a press conference in Geneva on Tuesday.
Officials say the convoy left the consulate around two hours after Khashoggi entered.
Turkish authorities are to search the Saudi consulate in Istanbul as part of an investigation into the disappearance of journalist Jamal Khashoggi.
Meanwhile, Turkish authorities said Riyadh has agreed to a search the its Istanbul consulate.
"It's clear he did not exit", said one Turkish official with knowledge of the investigation, who spoke on the condition of anonymity to discuss the ongoing investigation.
Saudi Arabia denies the suggestion.
Searches of diplomatic buildings are incredibly rare - under global law, the grounds of an embassy or consulate are considered to belong to the country that is represented there, not the host nation.
Turkey says it will conduct a search of Saudi Arabia's consulate in Istanbul.
Journalists and activists gathered outside the Saudi consulate on Monday demanding information on Khashoggi's fate. The picture bore a date and time stamp, as well as a Turkish caption saying that Khashoggi was arriving at the consulate. That team was sent "specifically for the murder", a person with knowledge of the Turkish investigation tells the Post. The consulate insists the writer left its premises, contradicting Turkish officials.
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Turkish police operate at least one camera at the front of the building. However, a number of closed-circuit surveillance cameras surround the area.
DailyMail.com said a friend of the journalist revealed that Mr Khashoggi's encrypted messages had been read after he vanished.
Turkish officials later announced that they believed Khashoggi was murdered inside of the consulate and that his body was transported out of the building.
But he added that diplomatic cars had been seen moving in and out.
His fiancée, Hatice Cengiz, had waited outside.
Khashoggi's last column for the Post, in which he attacked MBS's signature foreign policy initiative-the disastrous war in Yemen-may have been the proverbial straw for the crown prince. President Recep Tayyip Erdogan of Turkey has demanded that the Saudis provide evidence proving their claim.
Erdogan said "mere words [of Saudi officials] are not enough evidence". Among other things, as MBS told Bloomberg, the visit prompted Riyadh to commit to buying more than 60 percent of its weapons in the next decade from Washington. "Why don't you prove it, you have to prove it". "You have to prove it".
Khashoggi was previously a prominent newspaper editor in Saudi Arabia and an adviser to a former head of intelligence.
The episode has put the United Kingdom in an awkward diplomatic position since it is close both to Turkey and Saudi Arabia.
President Donald Trump, who took his first overseas trip as USA president to the kingdom and whose son-in-law Jared Kushner has close ties to Prince Mohammed, said he had concerns.
"See, when I hear about an arrest of my friend who did nothing that worth to be arrested make me feel that I should not go home".