Ronaldo said on social media on Wednesday that he was leaving the Portugal camp in Denmark following a conversation with Proenca, casting doubt on his international future on the eve of their Nations League match against Denmark in Copenhagen on Thursday.
Portugal's record goalscorer said he would reveal his reasons in due course, while the FPF confirmed that the 41-year-old forward had left the squad.
Ronaldo had been due to train with the squad at the Parken Stadium on Wednesday, but left before the session began.
He returned to the team hotel and collected his belongings, Marca reported, before heading to the airport to take a private flight to Madrid.
Jesus and Proenca followed him there in an attempt to persuade him to remain in Copenhagen but failed to change his mind, the newspaper added.
The FPF disciplinary code states that national team players who leave without permission can be subject to a suspension of one to six months from the Portugal national team.
The FPF did not immediately respond to a Reuters request for comment on the Marca report.
Only hours earlier, Jesus had said Ronaldo would take part in Wednesday's training session and denied there was any problem between them.
He did confirm a private conversation with Ronaldo on Tuesday, after the Al Nassr forward did not feature during Portugal's 2-1 win over Norway on Sunday.
He added that Ronaldo was angry with him, but as far as he was concerned, it was "water under the bridge."
UEFA Nations League
The UEFA Nations League 2026/27 is contested by the national teams of 54 of UEFA's member associations. They're divided into four leagues based on the rankings of the previous edition, with Leagues A, B, and C featuring sixteen teams each, divided into four groups of four, while League D features six teams divided into two groups of three. It begins in September 2026, with the finals in June 2027.
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