Foreign Minister Margot Wallstroem said Riyadh had stopped her from making her opening address to the meeting on Monday due to her stance on human rights.
"We regret that the Swedish foreign minister was not able to deliver her speech," European Commission spokeswoman Maja Kocijancic told a briefing.
EU foreign affairs chief Federica Mogherini will speak to Wallstroem and Arab League chief Nabil al-Arabi "to understand this situation", she added.
Wallstroem had been invited as an honorary guest to the Arab ministers' meeting in praise of her government's decision to recognise Palestine in October.
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Her cancelled opening speech -- published by the Swedish foreign ministry -- mentioned neither Saudi Arabia nor Wallstroem's feminist foreign policy agenda but stressed women's and human rights.
On Monday Wallstroem said it was a "shame" that she had been blocked from speaking.
"The explanation we have been given is that Sweden has highlighted the situation for democracy and human rights and that is why they do not want me to speak," she told news agency TT in Cairo.
An Arab diplomat confirmed to AFP that Riyadh had stopped the Swede from making her opening speech.
Wallstroem has rarely commented on Saudi Arabia but in January she slammed the kingdom's treatment of blogger Raef Badawi, who had been sentenced to 1,000 lashes and 10 years in prison for insulting Islam.