The 30-year-old was spotted making a swift getaway in his car with eight minutes of normal time left on the clock.
Despite the apparent snub to the rest of the squad, Real's rules allow watching players not in the squad to leave games after the 80th minute.
Real were humiliated in their own back yard and even let their own player score against them.
Los Blancos' Martin Odegaard is on loan at Real Sociedad and in a bizarre twist of fate, scored the visitors' opener before they went on to complete the drubbing.
Zinedine Zidane sent out a fairly strong team with Sergio Ramos, Toni Kroos, Vinicius Jr and Karim Benzema all making the starting XI.
But the Sociedad side containing familiar Premier League names Nacho Monreal and Adnan Januzaj raced out the blocks and were one up inside 25 minutes thanks to Madrid's 21-year-old prodigy.
In what will now look a foolish oversight, the Bernabeu giants failed to include a "you can't play our own player against us" clause in the season-long loan deal agreed with Sociedad in the summer.
But Odegaard's opening strike - which he respectfully neglected to celebrate - was the least of Madrid's worries as they slumped to their first home defeat of the season.
It's not the first time Bale has sped away from the Bernabeu before full-time.
Last January, he was pictured leaving the stadium 12 minutes early in another defeat to Real Sociedad.
Then earlier this season, in October, Bale drove away ten minutes early from the match against Leganes - a 5-0 win for Los Blancos.