The lawmakers' action left the Senate without a quorum and forced it to adjourn, with Republicans vowing to return Friday to try to take up the bill.
Senate Minority Leader Mark Miller, a Monona Democrat, refused to tell CNN where he and his colleagues were, saying only that they were in "a secure location outside the Capitol" and that they were not all in the same place.
A Democratic source familiar with the senators' whereabouts told the Milwaukee Journal Sentinel at least some of them were temporarily at a Rockford, Ill., conference center.
Miller told the Journal Sentinel: "This is a watershed moment unlike any that we have experienced in our political lifetimes. The people have shown that the government has gone too far."
Miller told CNN the senators would return to the Capitol only when Gov. Scott Walker ends his bid to curb collective bargaining powers for 175,000 state and local employees and returns to the negotiating table with union leaders.
Walker called on the senators to return to the statehouse "out of respect for the institution of the Legislature and the democratic process."
The lawmakers' walkout came as 20,000 union supporters flooded the statehouse in a fourth day of protests, packing three floors of the rotunda and surrounding the Senate.
At least nine protesters were arrested for disorderly conduct, the state Department of Administration said.
Wisconsin faces a $137 million shortfall this year and a multibillion-dollar deficit next year.
Walker's budget proposal, unveiled Friday and scheduled to be delivered to the Legislature next week, would save $30 million this year and almost $300 million during the next two years, Walker said.
It would limit collective bargaining for most state and local government employees to the issue of wages, rather than a variety of issues including health coverage and vacations. It would also require most state and local workers to pay half their pension costs -- typically 5.8 percent of their pay -- and at least 12 percent of their healthcare premiums, up from about 6 percent.
The plan does not apply to state and local police and firefighters.
All unions except for police and firefighters would have to hold annual elections to keep their organizations intact and would lose the ability to have union dues deducted from state paychecks.
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