The 27-year-old had been expected to show up at the club's training facilities on Monday, less than 24 hours after he attended Brazil's 3-1 victory over Peru in the Copa America final at Rio's Maracana stadium, reports Xinhua news agency.
"PSG notes that Neymar Jr was not in attendance at the agreed time and place. This was without the club's prior authorisation," a club statement read. "The club regrets this situation."
The former Barcelona and Santos star's absence coincides with speculation linking him with a return to the Camp Nou.
The Catalan club's president, Josep Bartomeu, said last week that Neymar wanted to leave the French club and reports in Spanish media have claimed the Brazilian is willing to take a pay cut to facilitate a return to Spain.
Neymar has scored 34 goals in 37 top-flight appearances for PSG since his world record 222 million-euro move from the current La Liga champions. But his time in Paris has been blighted by injuries and off-field controversies.
He missed the final three months of the 2017-18 season with a fractured metatarsal and was again sidelined for most of last season with a recurrence of the same injury.
His disciplinary indiscretions include an attack on a fan that earned him a three-match ban by the French Football Association. He will also miss the next three UEFA Champions League matches for insulting officials on social media.
Neymar was stripped of Brazil's captaincy in May and subsequently suffered an ankle injury that ruled him out of the tournament in the South American nation.
( With inputs from IANS )