The footballer, who plays for French team Paris Saint-Germain (PSG), is said to have travelled to the destination with his family for two weeks without the club’s permission.
According to BBC Sport, Messi, who is a tourism ambassador for Saudi, requested to take the trip for "commercial work", but was refused.
The Saudi Tourism Authority said Messi and his family were in Riyadh, after having visited Jeddah with friends last year. The family’s experience of the destination will be shared with Messi’s 450M+ followers worldwide.