The Turkish-Arab Media Association (TAM) organised the protest in support of Khashoggi, a contributor to the Washington Post and former government adviser who has been openly critical of some of Saudi Crown Prince Mohammed bin Salman's policies, including Riyadh's involvement in the war in Yemen.
Trump made the comments at a rally in MS on Tuesday.
Bin Salman said that the 59-year-old writer is not inside the consulate, adding that the foreign ministry is investigating to see exactly happened at the time.
A US State Department representative said the department was also monitoring the situation, since Khashoggi has lived in the United States since September 2017 and has become even more prominent in American circles writing as a columnist for The Washington Post.
According to a report published in the Arab News on Thursday, Saudi Arabia changed its military spending strategy after Trump was elected president in 2016, with 60 per cent of spending with the USA over a decade.
'I love working with Trump.
Members of the media report near the entrance to a blocked road leading to the Saudi Arabia consulate in Istanbul, Thursday, Oct. 4, 2018. "We have good improvement in our trade - a lot of achievements, so this is really great".
On being asked about controlling the oil prices, the crown prince said the Kingdom has never decided that this is the right or wrong oil price.
Supporters of journalist Jamal Khashoggi gathered outside the Saudi consulate in Turkey's largest city on Friday to demand answers about his whereabouts.
Saudi Arabia is the only oil producer with significant spare capacity on hand to supply the market if needed.
".if you look at the United States of America, when for example they wanted to free the slaves". But Iran, definitely no.
"Near-term spare capacity is effectively maxed out", Amrita Sen, chief oil analyst at consultant Energy Aspects Ltd., said last week. "Of course there is opportunity for investment in the next three to five years".
In one sense, then, Khashoggi's speculated arrest is consistent with previous Saudi policies and serves to highlight the extent to which dissenters, even those whose high-profile and connections in worldwide circles we might expect to protect them, are still ultimately at the mercy of the Saudi government, no matter where they are.
"We believe he is a "guest" at the consulate". There are only small issues that have been stuck there for the last 50 years. We want to keep our journalism open and accessible and be able to keep providing you with news and analyses from the frontlines of Israel, the Middle East and the Jewish World.