According to a report by Spanish newspaper Marca, Ronaldo returned to Portugal's team hotel after deciding to leave the squad, collected his belongings and travelled to the airport for a private flight to Madrid.
Jesus and Proença reportedly followed him to the airport and attempted to convince the 41-year-old forward to change his mind, but Ronaldo ultimately left Denmark. Reuters said the Portuguese Football Federation did not immediately respond to a request for comment on the report.
Ronaldo announced his departure from the Portugal camp on Wednesday following a conversation with Proença.
The five-time Ballon d'Or winner said he would explain the reasons for his decision at a later date, while wishing Portugal and his teammates success.
The departure came after Ronaldo was left on the bench throughout Portugal's 2–1 Nations League victory over Norway on Sunday. Jesus subsequently acknowledged that Ronaldo was angry with him but said the issue was, from his perspective, “water under the bridge”.
Earlier on Wednesday, Jesus had indicated that Ronaldo would return to training with the squad and denied that there was an ongoing problem between them.
However, Ronaldo did not join the team's training session at Parken Stadium before announcing his departure.
The FPF subsequently confirmed that Ronaldo had left the training camp in Copenhagen and said preparations for Portugal's upcoming fixtures would continue with the remaining 24 players. The federation did not give a reason for his departure.
The situation has raised questions about Ronaldo's international future, although neither the player nor the Portuguese federation has announced his retirement from international football.
There could also be disciplinary implications. Reuters reported that the FPF's disciplinary code allows for a suspension of between one and six months from the national team for players who leave camp without permission. The federation has not indicated whether such action will be taken against Ronaldo.
Portugal are due to face Denmark in Copenhagen in their Nations League fixture on Thursday, with Ronaldo no longer part of the squad.
• Cristiano Ronaldo: Left Portugal's training camp in Copenhagen
• Jorge Jesus: Portugal head coach who reportedly travelled to the airport
• Pedro Proença: Portuguese Football Federation president who reportedly accompanied Jesus
• Reported destination: Madrid
• Portugal's next match: Denmark vs Portugal
• Competition: UEFA Nations League