Ronaldo started the match but was substituted at half-time. He was pictured leaving the stadium before the full-time whistle.
Speaking at a media day at Carrington on Tuesday, Ten Hag was asked about players leaving early.
"It is unacceptable for everyone," he told Viaplay Sport Netherlands. "I am telling them it's unacceptable. We are a team. A squad. Until the end we stay together."
Sources told ESPN that Ten Hag asked the entire squad, including those who featured against Atletico, to eat together ahead of the match against Rayo. The squad picked to play in Oslo were also told to watch the match at the stadium, either in the directors' box or from their own hospitality suites.
Ronaldo's early exit comes amid doubts about his future at Old Trafford. Sources told ESPN that Ronaldo wants to leave this summer to continue playing the Champions League.
Ronaldo, 37, missed the summer preseason tour of Thailand and Australia to deal with a family issue but returned to training last week.
United kick off the Premier League season with a home game against Brighton on Sunday.