"We note with amazement the resignation of Mr. Marcelo Bielsa ... in a clear violation of the commitments undertaken in the agreements signed last week," Lazio said, adding that it reserved the right to take legal action.
The club earlier said that the former Argentina and Chile coach and his staff were expected to arrive in Rome on Saturday, adding that his coaching contract had already been filed with the Italian FA.
Prior to taking up the Lazio job, the 60-year-old coach was strongly linked with a second stint with Argentina after the departure of Gerardo Martino following their Copa America final loss to Chile.
Bielsa, who quit French side Olympique de Marseille after the first match of last season, had a six-year spell as Argentina boss between 1998-2004, guiding them to gold in the 2004 Olympics in Athens and to the final of the 2004 Copa America.
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Simone Inzaghi, who has acted as interim manager since Stefano Pioli's departure in April, will be in charge of the Lazio for their summer training camp.
(Reporting by Crispian Balmer and Silvia Recchimuzzi; editing by Sudipto Ganguly)
