The Greens co-signed a Senate motion with the Australian Conservatives' Cory Bernardi and Centre Alliance's Rex Patrick calling on Australia to pull out of Saudi Arabia's "Davos in the Desert" event next week.

But the government denied formality to the motion, meaning the Senate didn't get to vote on it.

Liberal frontbencher Anne Ruston said the decision was in line with the government's long-standing policy of denying formality to issues relating to complex foreign policy matters.

"The Australian government has expressed our concerns and notes the statements of the US and the UK and many other nations in expressing concerns at the disappearance of Mr Khashoggi," Senator Ruston told parliament.

She said Australia had used official channels to call on all parties to co-operate fully with the joint Turkish-Saudi investigation.

Greens senator Peter Whish-Wilson said Mr Khashoggi's murder had been confirmed on the same day as the 43rd anniversary of the killing of five Australian journalists in East Timor.

"This motion is about many things but it's also about press freedom," the Tasmanian senator said.

"It's about how journalism is not a crime. It's about governments using their power seemingly without impunity."

He said the government couldn't sit in silence over an egregious attack on the free press and a rules-based international order.

Senator Whish-Wilson also wants Australia to ban all weapons and arms sales to Saudi Arabia.

Mr Khashoggi, a US resident and columnist critical of Riyadh's policies, disappeared on October 2 after entering the Saudi consulate in Istanbul.

Australian Associated Press