The team said the 77-year-old manager would skip the game on the recommendation of his doctors and would undergo further testing Wednesday.
La Russa's absence was announced about one hour before the first pitch. The Hall of Famer showed no signs of health issues during his pregame session with reporters and while talking to Chicago general manager Rick Hahn and former Oakland Athletics pitching great Dave Stewart before the game.
Bench coach Miguel Cairo, who went 2-0 as the White Sox's acting manager last season, stepped in for La Russa as Chicago lost its fifth straight game 9-7.
"We're going to find out [Wednesday] what is going on and hopefully he's going to be fine and he's back [Wednesday] to do his duties," Cairo said after the game. "We are going to keep him in our thoughts and hopefully everything is fine."
First baseman Gavin Sheets, who homered twice and drove in five runs for the White Sox, said the players didn't have much of a heads-up.
"I don't know all the details. We're obviously praying for him, praying for a full recovery," Sheets said.
The Associated Press contributed to this report.