Katherine Jackson -- Where's The Money You Solicited from Michael Jackson Fans?

Katherine Jackson has pulled the plug on her campaign to solicit money from Michael Jackson fans to pay for an MJ documentary ...TMZ has learned. The question -- Where did the money go?

TMZ broke the story last week ... Katherine -- along with Paris, Blanket and Prince -- made an online plea to Michael's fans to contribute money so she could license songs and images from the MJ Estate for a documentary she wanted to make.

We made it clear in our story ... the whole thing reeked of a scam, because the Estate was never contacted about licensing anything for Katherine's documentary and based on what we know ... there's no chance in the world the Estate would sign off on the project for any amount of money.

And here's what's really suspicious ... The website Katherine used allows her to keep the funds if the project is never made ... money contributed by MJ fans.

So almost immediately after we posted our story ... Katherine and/or her people pulled the plug on the project.

A source close to Katherine tells TMZ ... he's been told every cent of the money raised was refunded and Katherine got nothing ... but we can't confirm it.

Katherine's lawyer, Perry Sanders, tells TMZ Katherine wants to do a documentary and she "fully anticipates the executors will see the artistic honesty of this project and help make [it] successful." She shouldn't hold her breath.

Here's the deal ... Katherine Jackson is fundamentally a good woman with good intentions, but it's apparent she is often manipulated by people with bad intentions and that's what happened here.