I read here, on FR, an interview with Michael Jackson in which he stated that friends in Saudi Arabia called and warned him to get out of the city. He gathered Liz Taylor and someone else who was with him and fled to NJ.
http://www.freerepublic.com/focus/news/616380/posts
I think you misunderstood. It was ON THE DAY of the attack, after the attack had commenced, that he was warned by his Saudi friend. The Saudis got out of Dodge, too.