Lionel Messi (centre) joined Inter Miami last summer from Paris St-Germain and is contracted to the Major League Soccer side until 2025
The Argentina World Cup winner, 36, who had a hamstring injury, was left on the bench as Inter beat a local League XI 4-1 in front of almost 40,000 fans.
There were chants of "refund", while a speech by Inter co-owner David Beckham was drowned out by booing.
The Hong Kong government said match organisers Tatler Asia may face a reduction in funding.
"Regarding Messi not playing the match today, the government, as well as all football fans, are extremely disappointed about the organisers' arrangement. The organiser owes all football fans an explanation," the government's major sports events committee (MSEC) said.
"The MSEC will take follow-up actions with the organiser according to the terms and conditions, which includes reducing the amount of funding as a result of Messi not playing the match."
The MSEC said it had granted 15m Hong Kong dollars (£1.5m) for the event along with a grant of one million Hong Kong dollars for the venue.
A near-capacity crowd of 38,323 at Hong Kong Stadium had each paid more then 1,000 Hong Kong dollars (£101) for a ticket.
But Messi did not feature, while Uruguay striker Luis Suarez, who joined Inter Miami in December, also missed the match, with a knee injury.
In the second half, chants of "we want Messi" intensified as the Argentina captain, signed last July, continued to watch from the bench.
Beckham was then drowned out by jeers when he tried to thank supporters for their "incredible support" at the final whistle.
In a statement, the organisers said: "Despite some news reports, Tatler did not have any information about the non-participation of Messi or Suarez prior to kick off.
"Messi and Suarez were deemed unfit to play by their team's medical department, to everyone's, including ours, disappointment."
Inter manager Gerardo Martino said: "We understand the fans' disappointment in the absence of Messi and Suarez, and we apologise for that, but this was a decision made with our medical staff.
"If there was a way they could have played even a little while we would have done it, but there was too much risk involved."
-- Courtesy of BBC Sport