Third-tier team Lusitania Lourosa left the stadium on foot following a Portuguese Cup defeat, after club officials sent the team bus away.
The incident was described by the footballers’ union on Monday as “lamentable.”
Videos on Twitter later showed the squad walking back to their training ground, around five kilometers away.
Club president Hugo Mendes said the team took the decision as a form of self-criticism.
“There was no punishment,” he said.
However, the Portuguese players’ union (SAFP) said the club had ordered the team bus to leave.
“The union expects nothing less from the president of Lourosa than an immediate apology to the squad for this lamentable episode which does nothing to dignify Portuguese football,” it said in a statement.
The Portuguese Cup features 165 teams from the top four tiers of the league system, with the top-flight sides entering the third round.
