Khamenei was quoted on state-run Press TV as saying the attack Wednesday had been "carried out by the planning or support of CIA and Mossad services, like all other crimes of the network of international state terrorism," CNN reported.
Mostafa Ahmadi Roshan, the 32-year-old nuclear scientist who worked at the Natanz uranium-enrichment facility, was killed Wednesday in Tehran by a magnetic bomb attached to his car. He was the third Iranian nuclear scientist to be assassinated in two years, CNN said.
U.S. Secretary of State Hillary Clinton "categorically" denied any role in the attacks.
Defense Secretary Leon Panetta told troops in Texas: "We were not involved in any way -- in any way -- with regards to the assassination that took place there.... We have some ideas as to who might be involved.... but I can tell you one thing: The United States was not involved in that kind of effort. That's not what the United States does."
Israeli army spokesman Brig. Gen. Yoav Mordechai said on Facebook Wednesday: "I have no idea who targeted the Iranian scientist but I certainly don't shed a tear."
Meanwhile, Iranian state TV reported, thousands of people attended Roshan's funeral in Tehran, the BBC said.
The British broadcaster reported Tehran said Roshan's death would not hinder "progress" in its nuclear program.
"We will continue our path with strong will ... and certainly we will not neglect punishing those responsible for this act," Iran's official IRNA news agency quoted Khamenei as saying.
Western countries have tightened sanctions on Iran amid concerns the country is working to develop nuclear weapons. Tehran, however, says its nuclear program is solely for peaceful purposes.
Tehran, responding to the sanctions, has threatened to block oil transport through the Strait of Hormuz, which Clinton called a "provocative and dangerous" threat.
Iran has refused requests to halt uranium enrichment. The U.N.'s nuclear watchdog, the International Atomic Energy Agency, said it has evidence the country has conducted weapons-related research.
Responding to Roshan's death, Chinese foreign ministry spokesman Liu Weimin said the country opposes all violence, China's state-run news agency Xinhua reported.