Diego fined and warned after walking out
Wolfsburg did not give details on the size of the fine.
"It is my problem, it is our problem. We have to sit down and find a solution. I still have a contract," Diego told the club website after taking part in Sunday's training session.
The Brazilian, who joined from Juventus for a reported 15 million euros last year, was angry at being left out of the squad for a game where the 2009 champions narrowly avoided relegation on the final matchday.
He quit the team hotel and did not go to the stadium to watch the match.
"I am ready to work with him but he must know he has to follow my path. Anyone thinking differently will have a hard time here," said coach Felix Magath.