"He has disappeared without permission," said Ahmed Khalifa Hammad, the Ahli chief executive. "He just sent a text [message] to one of the people in the club admin, saying he is going to Brazil.
"We don't know the reasons why he has gone back. It could be some family issues. Till now, we have not heard anything from him. No calls or anything. So we are waiting."
Coelho, often known as "Jaja", seemed to bear the brunt of the Ahli's fans anger after a 4-0 loss to Dubai rivals Al Wasl in the President's Cup on Sunday night. Within a few hours, he was at the airport, catching a flight home to Brazil.
According to a club source, Coelho was not keen on continuing at Ahli and was looking for a move out during the winter transfer window with some Russian and Turkish clubs reportedly interested in his services.
The source does not expect him to return, but Hammad said that he hopes the Brazilian will come back and honour his contract with Al Ahli. "We don't know whether he intends coming back or not," Hammad said. "It is very early for us to say anything. We just have to wait for him to come back or contact us to know what happened and why he had to leave.
"He should come back because he has a contract with us. He is a professional player and we expect him to honour his commitments."
Coelho, 25, arrived at Ahli on a three-year, €4.5 million (Dh21.2m) deal from the Turkish club Trabzonspor in July and impressed fans at the start of the season.
However, he has only one goal in his past seven matches and his partnership with his countryman Grafite foundered. Critics also have questioned his fitness; Ahli's coach, Quique Sanchez Flores, addressed the issue after a recent league match.
Coelho's disappearance is another setback for Ahli, who have been looking to turn things around after two disappointing seasons when they finished eighth.
They created most of the headlines during pre-season, bringing in the big-name signings of Grafite, the former German Footballer of the Year, Luis Jimenez, the former Inter Milan midfielder, and Coelho.
Ahli had also returned the coach Ivan Hasek, who had guided the team to the President's Cup title in 2008 and the Pro League crown in the following season before returning home to lead the Czech football federation.
Hasek was, however, removed from his post by the club in early November after a loss to Al Shabab in the Gulf Club Championship final. Under the Czech's reign, Ahli lost two of their three Pro League games; the Czech had two wins and a draw in four Etisalat Cup matches.
In the four league matches under Sanchez lores since, they have one win and a draw and are currently ninth on the table; in the Etisalat Cup, they have one win and a loss and they made a first-round exit from the President's Cup.
Follow us @SprtNationalUAE