Rafinha no-show for Schalke
"I don't know where he is," Magath told Kicker magazine's website.
The second-placed Bundesliga club's coach refused to comment on possible sanctions, adding: "I must find out first what has happened."
Peru forward Jefferson Farfan and Brazilian defender Bordon were also absent but they had obtained permission for a late return after the Christmas break, said German media reports.
Rafinha defied Schalke last year when he joined Brazil's Olympic Games squad after the club initially refused to release him to play in Beijing.
The Court of Arbitration for Sport (CAS) later ruled in Schalke's favour but the club then agreed to allow Rafinha to stay in China.
South American players often return home for the Christmas break and late returns have been a recurring problem for European clubs.