Female hostesses were reportedly groped and propositioned for sex while working at the Presidents Club dinner, attended by around 360 male businessmen and politicians at the luxury Dorchester Hotel last week.
"I was frankly appalled... I thought that this sort of attitude, that objectification of women, was something in the past," May said in a Bloomberg interview on the sidelines of the World Economic Forum in Davos.
Britain's second female prime minister said she would continue to work to ensure that "people value what women can bring to business, to politics".
The abuse was revealed in an investigative report by the Financial Times newspaper, sparking widespread condemnation and forcing the Presidents Club to close on Wednesday.
Businessman David Meller was sacked from the Department for Education board over his role as joint chairman of the club.
Children and families minister Nadhim Zahawi has also been forced to defend his choice to attend the dinner last week, which he said he left early.
The women were told to wear black underwear, had their phones taken away from them and had to sign non-disclosure agreements at the start of the event, the FT said.
May's spokesman said the premier "will look at the way these non-disclosure agreements are applied to see if changes are required," without giving further detail.
Britain's Charity Commission said it was "assessing these allegations as a matter of urgency and will be contacting the Presidents Club Charitable Trust".
Great Ormond Street Hospital Children's Charity, a famous London institution, said it was not due to receive money from this year's dinner but would return previous donations.
The event organisers said they would investigate sexual harassment allegations and would not be holding any future Presidents Club fundraising dinners.
Culture minister Matt Hancock said the announcement was "goodbye to bad rubbish", telling BBC radio: "It has got to be the symbol of a bigger change.
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