Source: Friedrich Hayek, The Fatal Conceit (1988), Appendix B: The Complexity of Problems of Human Interaction
Hayek said that Joachim Reig pointed this out in his Introduction to the Spanish translation of E. von Bohm-Bawerk's essay on Marx's theory of exploitation (1976)
The previous story I heard about it is that Karl Marx died working in his Capital.
Did Karl Marx abandon further work on capital? If so, is that the reason?
No... Karl Marx, as you said, died. While he was aware of the work of both his contemporaries and his predecessors, we don't have any evidence that anything made him stop working on Capital, or any of his projects, for any reason besides... death. And especially not the works of W.S Jevons or Carl Menger, that Marx, while him possibly being aware of them, never adress in depth. Jevon's A General Mathematical Theory of Political Economy was published in 1862, 5 years before the first volume of Capital, and many of Marx's dismissals of Bentham in said work, would apply to Jevon as well. If Marx was to abandon Capital because of Jevon, it would have made no sense for the former to publish a second edition of Capital, with another and reinforcing foreword, while continuing work on what Engels would come to publish as vol. 2 and 3. What Marx said about Bentham, which wasn't words of praise, could also be said by the bearded polemical German about Jevon.
Menger's GdVwl was published in 1871, and his main argument, that the prices of commodities may diverge from production, is actually brought up by Marx in Capital, as such, his critique doesn't really grant any new insight for Marx, as the fluctuations and variations from the tendencies are to be expected according to Marx. It is also somewhat of a side-note to Marx's actual arguments in Capital, but that's a story for another thread..."What was Marx's argument, really?"—I dread the comments under that post. It is very likely that Marx read Menger, and scoffed, but not enough to even take time away from his work on Capital to write a polemical piece.
Engels comments on the Jevon-Menger theory in his foreword to vol. 3 of Capital, and makes a very short dismissal, but Engels wasn't Marx. He basically says, that no matter how we regard the creation of profit on capital, in practice the situation is the same. The relations of power and production are the same.
Besides Engels' short dismissal, there ie not much more to talk of in terms of direct dismissals. But all of the documents we have left over, signifies Marx kept working on Capital 'til he died in his armchair having "been left alone for scarcely two minutes" as Engels said.
Sources:
Liedman, Sven-Eric. A World to Win. 2015
Marx, Karl. Capital. Volume 1. 1867
Marx, Karl. Capital. Volume 3. 1894
Marx, Karl. The Political Writings. 2019
I also recommend following along with the publications of the immense work of the Marx-Engels-Gesamtausgabe in which we may find many letters, not published earlier, that can help answer your questions.