The alleged abuse to which they were subjected took place over several months at the apartment in Gurgaon, south of Delhi.
Confirming the official had immunity, Gurgaon police chief Navdeep Singh Virk said the women had told the police the diplomat's family "had hired them and taken them to Jeddah a few months back for working as maids".
The women worked in Jeddah for about a month and then returned to the apartment in Gurgaon where they continued to work as maids.
"[The women] allege that the Saudi Arabian family detained them for the past four-five months, and they were not allowed to go out of the house, and during this period they were beaten up, raped and abused and threatened by the family and their guests," Mr Virk said.
Police raided the apartment late on Monday and rescued the women.
"The women were brought to the police station and later sent to the hospital for a medical examination that confirmed rape and sexual assault," senior Gurgaon police official Rajesh Kumar Chechi told The Indian Express newspaper.
The women told the Times Now television channel they were never abused at the embassy official's house in Saudi Arabia and that the violence started only after they returned to India.
"They would beat us every night and often there was more than one man who would torture and rape us," one of the women said. "We have marks all over our body."
Mr Virk said the police had provided the "requisite information" to India's foreign ministry.
Nepal's embassy said earlier it was waiting for the police investigation to end before it launched a diplomatic complaint, Reuters reported.
Thousands of men and women from Nepal, one of the world's poorest countries, travel to India and other Asian and Arab states every year to seek work as domestic servants and labourers.