Saudi security forces have conducted a huge search to corner more militants and find the body of the beheaded American engineer Paul Johnson.
Sunday night's operation centred on the petrol station where Muqrin was killed
Police cars and armoured vehicles sealed off the al-Malaz district of the capital Riyadh on Sunday.
It was the site of a gun battle on Friday which ended in the death of the al-Qaeda leader in Saudi Arabia, Abdul Aziz al-Muqrin.
Islamist militants beheaded Mr Johnson despite his family's pleas for mercy.
The security forces left later in the night, and it was not clear whether anyone had been arrested.
The Saudi ruler has vowed not to allow militants to threaten the country's stability.
"We will not allow a wicked group led by a deviant ideology to destabilise the kingdom's security," King Fahd said.
"The real Muslim has nothing to do with these actions and
has no sympathy for those who carry them out," he added.
A statement signed by "al-Qaeda in the Arabian peninsula" meanwhile pledged further actions in Saudi Arabia in the wake of Muqrin's death.
"The mujahideen are continuing the jihad that they have pledged to God, and the killing of their brothers will not weaken their resolve but only increase their determination and commitment," it added.
But the Saudi de facto ruler Crown Prince Abdullah warned what he called "deviant groups" that "if they do not return to the right path, they will
meet the same fate or worse" as Muqrin.
Muqrin was involved in the killing of BBC cameraman Simon Cumbers and the wounding of correspondent Frank Gardner earlier this month, according to Saudi foreign affairs adviser Adel al-Jubeir.
A website linked to Muqrin's group has said that Mr Johnson was kidnapped after he was stopped at a fake checkpoint set up by militants using police cars and uniforms provided by sympathisers within the Saudi security forces.
The site says that he was seized on 12 June on al-Khadma Road, which leads to the airport, near the Imam Mohammed bin Saud University.
Militants were threatened with the same fate as Muqrin
The militants detained him after stopping his car, anaesthetised him and took him to another vehicle.
The Sawt al-Jihad website thanked those "who are sincere to their religion in the security apparatus" who it said had provided the equipment used for the deception.