Los Blancos fought back to 4-3 but the Welshman was not there to watch his team-mates battle for a result.
With 82 minutes on the clock, the forward was seen leaving before getting in his car and driving off.
It is not the first time the ex- Tottenham man has decided to call it a day before the game had finished, with AS reporting this is now the fifth encounter this season.
However, Real rules state that a player can leave after 80 minutes - if they are not in the squad, of course.
Bale was left out of the squad despite returning from an ankle injury.
It was an embarrassing evening for Zinedine Zidane's men, who were 4-1 down to Real Sociedad at one point at the Bernabeu.
It all started with a goal from one of their own players - though he was in a Sociedad shirt.
Martin Odegaard is on loan at the Anoeta Stadium where he has performed well and just before the half-hour mark he grabbed the opener.
Swedish striker Alexander Isak came on at half-time to grab a brace, with Marcelo netting for the home side in between.
Former Newcastle star Mikel Merino grabbed the fourth to make it a miserable night in Madrid.
But there was a late fightback when Rodrygo and Nacho scored.
However, it was not enough and Real have been sent crashing out of the Copa del Rey.
And that was not the only shock of the night after Barcelona were also knocked out.
They took on Athletic Bilbao, who scored a last-minute goal from Inaki Williams to make it a shoddy week for the Catalan club.
Rumours continue to swirl over Lionel Messi's future, who has had a row with the hierarchy.
Sporting director and former team-mate Eric Abidal claimed that the players got Ernesto Valverde sacked.
And that has not gone down well with the dressing room, especially Messi who responded on Instagram.