Diego on the spot over penalty miss
Diego seized the ball from designated penalty-taker Patrick Helmes and then struck the spot-kick against the crossbar 10 minutes from time.
"We had agreed it would be Patrick Helmes and we had announced that (to the team). He has defied us. He should not have taken the penalty," said McClaren.
The former England manager is under mounting pressure in his first Bundesliga season with Wolfsburg in 12th place, just one point above the relegation play-off spot.
"We need to discuss this incident," he said on the club's website.
Germany's Bild newspaper said Diego could be fined 100,000 euros and be dropped from the team. Club officials could not be immediately reached for comment.
McClaren managed to hold on to his job over the winter break and reinvested the 30 million pounds the club got for the sale of striker Edin Dzeko to Manchester City by buying several players, including Helmes.