Inter beat a League XI 4-1 in front of almost 40,000 fans on Sunday, with Argentina captain Messi left on the bench because of a hamstring problem.
The Hong Kong government said Messi was contracted to play at least 45 minutes.
"I always want to play, especially in these games where we travel so far and people want to see our games," he said.
"Unfortunately this happens in football. In any game it can happen that you can't play.
"I hope we can return and play a game in Hong Kong."
Supporters in a near-capacity crowd of 38,323 at Hong Kong Stadium each paid more then HK$1,000 (£101) for a ticket.
There were chants of "We want Messi" in the second half as the World Cup winner remained sat among the substitutes.
When he failed to make it on the pitch, there were then chants of "Refund", before Inter co-owner David Beckham was drowned out by jeers as he tried to thank supporters during a speech after full-time.
The Hong Kong government's major sports events committee (MSEC) said it was "extremely disappointed" that Messi did not play, having provided grants of HK$16m (£1.5m) to organisers Tatler Asia for the event.
Tatler Asia said it will not ask for the money as Messi did not play.
Messi came on as a substitute six minutes from the end of Miami's previous match in Saudi Arabia last Thursday, but a scan after that game confirmed a swelling of the hamstring.
The 36-year-old, who has won the Ballon d'Or eight times, said the injury is improving and he could feature against Japanese champions Vissel Kobe in Tokyo on Wednesday.
"I don't know if I can or not, but I feel a lot better and really want to do it," he said.
"This afternoon we're going to practise; we'll try again. I have a good feeling, compared to how I was."
-- Courtesy of BBC Sport