"We're buying what the Fed's buying to avoid the complexities of risk going forward," Gross said.
He noted that geopolitical risks are on the rise as tensions build on the Korean peninsula, and there are changes in the euro zone following the Cyprus bailout that may create additional risks investors would want to avoid. (Read More: Citing N.Korea, US Orders Missile Defense to Guam)
"Pimco is investing in higher quality, highly liquid, yes, Treasurys," Gross said.
But the situation in North Korea shouldn't be the primary factor driving investors back into U.S. government debt—at least not yet.
"I think the reason to buy Treasuys is simply the economy itself may be slowing and credit isn't infusing as much enthusiasm into risk assets as it used to," Gross told CNBC.
He added that once the Federal Reserve and mutual fund investors stop buying as much as they're buying, the liquidity has washed over markets will disappear or at least dissipate, "and investors should be concerned at that point to own highly liquid and high-quality investments."