The Royals placed Perez on the 10-day injured list after the opener of Tuesday's doubleheader against the White Sox.
Perez told reporters he suffered the injury when he swung through a pitch during his first at-bat against Chicago's Dylan Cease. The seven-time All-Star left the game in the seventh inning because he was having trouble gripping the bat but, according to Royals manager Mike Matheny, still wanted to play Game 2 of the doubleheader.
"He knows he's got a sprain, but he wanted to play," Matheny told reporters, according to MLB.com. "He knew he could play through it, but the issue is: 'What are we risking here?' We don't want to risk a season-ending injury if it gets worse."
Perez, 32, hopes to spend the minimum 10 days on the IL but acknowledged a quick return to the Royals will be "hard" because the sprained thumb is on his glove hand, making it difficult for him to catch.
"It's really sad to see Sal go down, but it's encouraging to hear that he's not going to be out long," Royals center fielder Michael Taylor told the Kansas City Star. "Obviously, he's a big part of our team."
Perez was off to a slow start this season before the injury, batting just .206 with six home runs and 16 RBIs in 34 games. The 2015 World Series MVP led the majors with 48 homers and 121 RBIs last season.
The Royals recalled catcher Sebastian Rivero from Double-A Northwest Arkansas to replace Perez on the active roster, but rookie MJ Melendez is expected to serve as Kansas City's primary catcher during the 12-year veteran's absence. Melendez, who caught all 18 innings of Tuesday's doubleheader, is batting .233 with one homer in 30 at-bats this season.