The 27-year-old marksman was linked with a possible move to Amakhosi just last week, and news coming out of the Urban Warriors camp is that the player's no longer committed to the club.
As things stand, it is unclear whether or not Nxumalo's latest stunt has anything to do with reports that the Soweto giants are interested in his services.
Menzo made it clear that he cannot work with players who do as they please, although he's still hoping that Nxumalo will eventually come to his senses.
"If you ask me honestly, I don't know. Prince comes and stays away for a day or two. Nobody really knows where he is, and for me I can't work with a player like that. So, I don't know where he is," Menzo told the media.
"I will see him when he's back, but I think he wants to come back. That's all," he said.
Nxumalo is approaching the final six months of his contract with the Mother City-based outfit, and as soon as the January transfer window opens, he will be eligible to sign a pre-contract with a team of his choice.
Chiefs have already signed Leonardo Castro as part of strengthening their striking department for the second half of the season.
However, given their struggles in front of goal so far this season, more attack-minded players are expected to be signed before the closing of the January transfer window.