Argentine duo Ezequiel Lavezzi and Javier Pastore, along with Uruguayan defender Diego Lugano, returned from their Christmas break on Monday, but should have joined up with the rest of the team in Doha a day earlier.
And although he is unsure how he can punish the players, Leonardo is keen to do whatever he can.
"Lugano, Lavezzi and Pastore arrived one day late and I am not happy," the Brazilian was reported as saying by L'Equipe. "This is not good and it was not planned. Nene had the right to arrive on December 30, not Lugano, Lavezzi or Pastore.
"I have not met with them yet but it was not good. We'll see what we can do. We are in France, it is not easy to sanction them, unfortunately."
Leonardo's compatriot Lucas Moura was in Doha on time, with the 20-year-old winger joining his new team-mates for training after he agreed to move from Sao Paulo in August.
The youngster was part of a summer spending splurge in the French capital, and was brought in alongside Zlatan Ibrahimovic, Thiago Silva, Marco Verratti, Gregory van der Wiel and the tardy Lavezzi.
But Leonardo is unsure whether there will be more reinforcements during the winter window, stating that players will have to leave before Carlo Ancelotti's ranks can be strengthened.
"The transfer window is always weird, you never know what can happen," he continued. "We need to see if players leave, then we will study the issue.
"If you stay exactly the same, you do not improve. If players leave and there are opportunities, we'll see.
"The coach has his team, his ideas, his balance. There are players like Guillaume Hoarau, Nene, Lugano, Siaka Tiene and Mohamed Sissoko who can leave. We will see what will happen in the coming days."
On Monday, the 43-year-old ruled out moves for Chelsea left-back Ashley Cole and Inter playmaker Wesley Sneijder.
"We have never spoken with Ashley Cole, there has never been any contact," he told reporters.
"Carlo was his coach at Chelsea, that's why that story is doing the rounds.
"Sincerely, we have never contacted Wesley Sneijder to come to PSG - we have five players in his position already."