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 Messi had been contracted to play at least 45 minutes.
Kevin Yeung, Hong Kong’s secretary for culture, sports and tourism, said government officials were repeatedly told that Messi would play.
They were only informed that an abductor injury would prevent the former Barcelona star from featuring with 10 minutes of the match remaining.
Match organisers Tatler Asia may be paid less money as a result of Messi not taking the pitch.
“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.
“One of the key terms of our funding agreement with Tatler Asia was for Messi to participate in the match for at least 45 minutes, subject to fitness and safety considerations,” Yeung added.
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.