On its part, Nepal insisted on handing down punishment to the guilty and indicated it will pursue the case.
Official sources said the government was exploring various available options but refused to elaborate.
Gurgaon Police Commissioner Navdeep Singh Virk said investigation into the case was continuing although the diplomat Majed Hassan Ashoor, First Secretary in the Saudi Embassy here, had left India last night.
Demanding justice to the victims, Nepal's envoy Deep Upadhaya indicated that his country will pursue the case as he said the criminals must be punished.
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An official in the Nepal embassy said it has received "tremendous" amount of support and cooperation from the government of India and hoped that investigation into the case will continue.
The Saudi Embassy termed the allegations as "false" and protested the police "intrusion" into the diplomat's house, saying it was against "all diplomatic conventions".
"We have learnt that First Secretary Majed Hassan Ashoor, who was allegedly accused of raping two Nepalese women, has left India," External Affairs Ministry spokesperson Vikas Swarup said on Wednesday night.
The Nepal police yesterday have arrested two persons, including the daughter-in-law of one of the Nepalese maids rescued from the Saudi diplomat's residence in Gurgaon.