Mr Khamenei's warning comes almost a month after American President Donald Trump announced Washington's decision to unilaterally withdraw from the landmark nuclear accord.
Under the 2015 deal with the US, France, Germany, Britain, Russia and China, Iran agreed to significantly curtail its uranium enrichment capacity so that it could not develop atomic bombs.
European governments have been scrambling to protect their businesses from renewed United States sanctions in order to keep Iran in the deal.
According to Reuters, asking the EIB to invest in Iran had "symbolic value as European Union officials see it as one of the easiest to deliver on in response to Iran's demands that it show proof of its commitment to the nuclear deal".
Iran has strictly and in all circumstances denied pursuing any military ambitions through its nuclear work.
He said he would initiate new sanctions on Iran, ripping up the touchstone agreement negotiated by his predecessor, Barack Obama.
Hoping to protect their interests, the Europeans have proposed hammering out a supplementary deal with Tehran covering its ballistic missile program as well as its interventions in countries such as Lebanon, Syria, Iraq and Yemen.
Iranian Foreign Minister Javad Zarif began a diplomatic tour last month in an effort to persuade the deal's other signatories to keep to it.
Israeli Prime Minister Benjamin Netanyahu meets with French leaders Tuesday in Paris as he continues efforts to persuade European leaders to alter the global nuclear agreement with Iran. The Trump administration has said it will apply severe sanctions on Iran by the end of the year, including penalties against companies that trade with the country.
Israel is considered the leading military power in the Middle East and believed to be the only country in the region to possess nuclear weapons.
Iran's Shahab 3 missiles can reportedly travel 2,000 kilometers and potentially reach southern Europe, with Iran saying the range may be increased if its security is jeopardized.
In his Monday meeting with German Chancellor Angela Merkel, Netanyahu warned that Iran was 'seeking nuclear weapons to carry out its genocidal designs'.
As EU businesses face retaliation from the U.S. for doing business with Iran, many are opting to avoid Iran. "However, for the time being, we move within the framework of the JCPOA", Salehi said.