As questions swirl over the fate of Khashoggi -- a Saudi critic who has not been seen since he walked into the kingdom's consulate in Istanbul on October 2 -- some big business names and media outlets have pulled out of the Kingdom's second Future Investment Initiative.
But Lagarde said her plans were unchanged for now, despite international uproar over the case.
"Human rights, freedom of information are essential rights and horrifying things have been reported and I am horrified," she told reporters in Bali where the IMF is holding annual meetings.
"But I have to conduct the business of the IMF in all corners in the world and with many governments."
"When I visit a country, I always speak my mind... So at this point of time my intention is to not change my plans and to be very attentive to the information that is coming out in the next few days."
Her comments came shortly after US Treasury Secretary Steven Mnuchin said he also still planned to attend the October 23-25 meeting, dubbed "Davos in the Desert".
"The answer is for now I am" still going, Mnuchin said.
"If more information comes out over the next week, I will obviously take that into account."
"Obviously I want to express concern for Mr. Khashoggi and his family," he added.
"We look forward to getting results of this investigation."
UN chief Antonio Guterres meanwhile told the BBC: "We need to have a strong request for the truth to be clear."
"We need to know exactly what has happened and we need to know exactly who is responsible... we need to find ways in which accountability is also demanded," he added.
The UN secretary general said he felt "this kind of incident is multiplying."
"I am feeling worried (at) this apparent new normal," he said in Bali.
Riyadh on Saturday dismissed accusations that authorities there had ordered Khashoggi be murdered by a hit squad inside its Istanbul consulate as "lies and baseless allegations".
But the row has intensified with the Washington Post reporting that Turkish officials have recordings made from inside the building that allegedly prove their claims Khashoggi was tortured and killed at the consulate.
Bloomberg, the Financial Times, The Economist and The New York Times have withdrawn as media sponsors from the event amid questions about the missing man's fate.
The CEO of ride-hailing app Uber, Dara Khosrowshahi, said that he will no longer be attending the event unless "a substantially different set of facts emerges".
British entrepreneur Richard Branson said he would suspend two directorships linked to tourism projects in Saudi Arabia over the issue.
Amnesty International demanded the Saudi authorities reveal what happened to Khashoggi as it said Riyadh was "responsible at a minimum for enforced disappearance".