The French foreign ministry said one was a teacher and two others worked with the French firm Schneider Electric.
"They are all residents who work in Riyadh and who had gone on a desert trip," al-Turki said.
Madain Saleh is a popular destination for Western expatriates living in the kingdom.
Some of the group of nine French nationals - which included women and children - were travelling to Mecca on pilgrimmage.
A security source told Reuters news agency that the attackers had singled out the men.
"Undoubtedly this is a criminal act, but it's too early to determine their motives and whether it is terrorism," al-Turki said.
In Paris, Jacques Chirac, the French president, called for action to find the attackers and ensure foreigners' safety.
"He strongly condemns this hateful act," a statement said, calling on authorities to "track down, try and punish those guilty of the act and guarantee the safety of our compatriots".
Grand Mufti Sheikh Abdulaziz Al al-Sheikh, the most senior government-appointed cleric, said Saudis should condemn the attack.
He said on state television: "All citizens have a responsibility to warn against this [kind of] crime and condemn it."
Philippe Douste-Blazy, the French foreign minister, said the French ambassador to Saudi Arabia and counsel general were planning to visit the scene of the attack and discuss the circumstances of the incident with Saudi authorities.
"I condemn this horrible act. I express my profound sympathy to the family and friends of the victims. French authorities are mobilised along with the Saudi authorities, so that light be shed and that those responsible be detained and punished," Douste-Blazy said in a statement.
The attack was the first on Western expatriates since a Briton was wounded in a knife attack in November in the eastern industrial city of Jubail.