The two women, officials said, have alleged that they were being mistreated and their passport was kept by the Saudi official.
The case is being investigated by the Homeland Security Investigations of the US Immigration and Customs Enforcement.
Without going into details of this case, State Department spokesman Patrick Ventrell said the US honours treaty obligations with regard to issues of diplomatic or consular immunity.
"The Department confirms for law enforcement authorities if a foreign mission member is accredited to the US and any immunity from jurisdiction or arrest that an individual may enjoy as a result of his or her official status," he said.
Local media reports said that the two Philippine women were rescued by Immigration and Customs Enforcement (ICE) in a raid on the Saudi diplomat's residence.
The identity of the two women has not been released.