Portuguese forward Ronaldo returned to the squad for the game after missing their tour in Thailand and Australia for 'family reasons', but he failed to score and was replaced at half time.
Pictures emerged on social media showing the forward leaving the stadium before the end of the 1-1 draw, with the BBC reporting that several other players who were sitting in the directors' box had also departed early.
"We are a team and that means you stay until the end," Ten Hag told Viaplay. "This is unacceptable for all those involved."
Ronaldo's future at United has been the subject of intense speculation after British media reported that he told the club that he wanted to leave so he can play in the Champions League. Instead of second-tier Europa League at Old Trafford this term.
They will open their Premier League campaign on Sunday against Brighton & Hove Albion.
