Mihajlovic had scheduled two training sessions on Monday, one in the morning and one in the afternoon, as a reprisal for his team's performance.
But Eto'o, who only joined Sampdoria last week from English club Everton, left after the morning session without speaking to the coach and did not return, Italian media reported.
"I don't know where he's gone and I don't know what the club intends to do," Mihajlovic was quoted as saying in the Gazzetta dello Sport.
"The only thing that is certain is that the player did not give me any explanation; I consider it to be a serious lack of respect to myself and the rest of the team.
"That's the only truth today, the rest is pure fantasy.
"There hasn't been a row with Eto'o, simply because you need two people to have an argument and he has done everything on his own," he added.
"I haven't seen him since the morning training and haven't spoken to him either."
Mihajlovic, a notoriously tough taskmaster who has revived Sampdoria's fortunes in his 15 months in charge, said he was ashamed by Sunday's performance, adding that his players needed to examine their consciences.
Former Cameroon forward Eto'o, 33, who was a free agent, joined the Sampdoria from Everton last week after only five months at the Merseyside club.
He came on as a second-half substitute in Sunday's match, only Sampdoria's third league defeat of the season.
(Writing by Brian Homewood in Berne, editing by Ed Osmond and Pritha Sarkar)
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