The 26-year-old was called up to Marc Wilmots' squad for over the international break despite not having made an appearance at domestic level since January.
And, after the centre-back played the full 90 minutes as his side defeated FYR Macedonia 1-0 in Brussels on Tuesday, Mancini has expressed his unhappiness.
"Sometimes players should understand that the club is more important, I am not saying the national team is not important, and I would never tell my players not to go to play for their country," Mancini told The Manchester Evening News.
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"He didn't play for us for 60 days and went to play for the Belgian national team. I did not agree with it. Sometimes managers of national teams should understand the situation. These players play for their clubs, and every month the clubs pay their salary.
“The responsibility is also sometimes with the player. Managers sometimes don’t understand the reality of the situation. But there are some cases when the club is more important, and all players should understand this."
Mancini did, however, concede that he would be happy to welcome Kompany back into the team should he prove fit enough to start against Newcastle on Saturday.
“If he has another injury, or if he is not ready to play for us on Saturday, and we lose him for another month, it is not right either for the player or for the manager," he added.
“I have talked to him, but I can’t put him in jail for two weeks!
“I knew he was joining up and asked him to stay here for treatment. I didn’t want him to play because it was a risk, and for us the next two months are really important.”