Saudi Arabia has faced criticism following the recent death of journalist Jamal Khashoggi, a critic of the Saudi government who was killed at the country's consulate in Istanbul in October.
Although both players voiced concerns about the match, which is scheduled to take place in Jeddah during tennis' off-season on Dec. 22, they are yet to officially withdraw and are seeking further information before making their decision.
"I don't like to involve myself in any political exchange or situations, it's unfortunate that we are both drawn into this right now," Djokovic told reporters at a news conference ahead of the Paris Masters.
"Of course I know, I'm aware of what's happening, and it's sad, of course. I mean, it's the only thing that you can feel when you see something like that and when you hear something like that.
"My team right now is in touch with the people in Saudi Arabia as well as Rafa's and of course we are all talking to understand the situation better.
"Because right now we just don't have enough information, and we have to look into that a bit more and then we'll make our decision soon."
Nadal, who was won 17 major titles to Djokovic's 14, added that the match had been agreed over a year ago, a long time before the recent controversy surrounding the regime emerged.
"It's terrible that one journalist lost his life. I know something very bad happened inside there," Nadal said.
"We are looking about how the situation evolves and I hope things will be clarified as soon as possible."
The exhibition is another example of Saudi Arabia's desire to grow its sporting portfolio. The country hosted a friendly match between Argentina and Brazil in October, as well as the World Boxing Super Series final between English fighters George Groves and Callum Smith.