Riyadh admitted that Khashoggi had been killed almost three weeks after he went missing at the diplomatic building.
Last week, Saudi prosecutors said the murder was pre-meditated, contradicting an earlier Saudi claim that the journalist was killed during a scuffle.
WWE announced on Thursday that the 'Crown Jewel' event on 2 November would go ahead in Riyadh, despite mounting pressure on Riyadh over Khashoggi's death.
"Moving forward with Crown Jewel in Saudi Arabia was an incredibly tough decision, given that heinous act," chief branding officer Stephanie McMahon told Sky News last week.
"But, at the end of the day, it is a business decision and, like a lot of other American companies, we decided that we're going to move forward with the event and deliver Crown Jewel for all of our fans in Saudi Arabia and around the world."
The decision stands in contrast to that of several Western business and government leaders who pulled out of a major Saudi investment conference last week over Khashoggi's murder.
The Future Investment Initiative, which was dubbed the "Davos of the Desert", was boycotted by a number of influential figures, including US Treasury Secretary Steve Mnuchin, the UK's Trade Secretary Liam Fox and IMF head Christine Lagarde.
Fans took to Twitter to blast WWE's decision, with some threatening to boycott the professional wrestling brand.
Cena's withdrawal indicates has added to obstacles faced by the WWE in the less-than-smooth run-up to Crown Jewel, however, the sports entertainment giant has moved quickly to replace him on the tour.
WWE announced on Monday Night Raw that Cena will be replaced by replaced by fellow star Bobby Lashley.
Cena had visited the ultra-conservative kingdom in April during a mega-show held at the King Abdullah Sports City Stadium, where he addressed a crowd of 60,000 fans.
