Rose returned to his hometown of Chicago without the team's permission to attend to a family matter, per ESPN. He alerted team officials of his whereabouts following the game.
Rose was originally listed as a starter against the Pelicans but the team announced shortly before tipoff that he was not with the team. Brandon Jennings started in place of Rose and scored 20 points in the Knicks' 110-96 loss.
"Right now we don't have enough information to really give you anything," Knicks coach Jeff Hornacek told reporters after the game. "So that's just going to have to wait until we hear something from Derrick himself. Other than that, if you want to talk about the game, ask away."
Joakim Noah, who played with Rose on the Bulls in Chicago, said after the game that he had been in contact with Rose and that the former MVP was "OK."
The Knicks (17-21) visit the Philadelphia 76ers on Wednesday and are in Chicago for a game on Thursday.
Rose has been frustrated with New York's recent struggles and has a deteriorating relationship with Hornacek, according to reports. Rose took issue with Hornacek benching him in the fourth quarter of the Knicks' games against the Milwaukee Bucks and Indiana Pacers.
The three-time All-Star is averaging 17.3 points, 4.5 assists and 3.9 rebounds this season.