The episode involving the Senegalese striker comes after a troubled week for Hoffenheim in which coach Ralf Rangnick, who led them from the third division to the Bundesliga, quit over the sale of defender Luiz Gustavo to Bayern Munich.
"Demba's behaviour will naturally entail consequences," general manager Ernst Tanner told the club's website. "There's no way that this unauthorised action against his employer and also against his team mates will be tolerated.
"We've already had one situation in Hoffenheim, in which Demba Ba wanted to leave by hook or by crook. The way and manner in which the player has tried to put pressure on his employer for a second time is unique in the Bundesliga."
The French-born striker joined Hoffenheim in August 2007 when they were in the second division and helped them win promotion in his first season with them.
He has scored six Bundesliga goals this season and media speculation has linked him with struggling West Ham United.
Rangnick, who had been in charge for four-and-a-half-years, quit on Saturday. He was replaced by his former assistant Marco Pezzaiuoli.
Hoffenheim are a former village team who have risen to the Bundesliga with the financial backing of Dietmar Hopp, the co-founder of software giant SAP.
The are eighth in the Bundesliga with 25 points from 17 games.
