Cain returned Friday from a sprained wrist but was basically swinging one-handed. He was back sidelined Saturday, and while manager Ned Yost said before the game Cain will likely have to play through pain, Cain told Fox Sports Kansas City that it was "highly likely" he was finished for the season.
After the game, a team spokesman said Cain had received a stem cell shot that didn't work and they wanted to wait a week to see if his wrist gets better.
At his locker after the game, Cain met with the spokesman, who repeated that news to the outfielder before he addressed reporters.
The former All-Star said nothing for a few seconds before declining to answer whether he thought he would return.
"I've got to talk to some more people because we talked about something earlier," Cain said. "I'll have to get back to you."
The Royals earned a 6-5 comeback victory over the Chicago White Sox on Saturday night, but the 2015 World Series champions remain four games back of Baltimore for the second American League wild card.
Information from The Associated Press was used in this report.