Sporting were beaten 1-0 on Tuesday night, ending any realistic hopes of winning a major trophy this season.
The players faced their first protest as they left the stadium where dozens of angry supporters waited by the team bus, forcing riot police to form a cordon around the vehicle.
After flying back to Lisbon, the players were greeted by more irate fans when they arrived at the Alvalade stadium to pick up their cars in the early hours of Wednesday morning.
Armed police again had to form a barrier to keep the supporters at a distance and allow the players to drive away safely, television pictures showed. No serious incidents were reported.
Sporting are fourth in the Portuguese league, eight points behind leaders Benfica, and their European season ended in December when they finished bottom of their Champions League group, below rank outsiders Legia Warsaw.
Those results are far below expectations for a team which includes several members of Portugal's Euro 2016 winning squad, plus internationals from other countries such as Costa Rican pair Bryan Ruiz and Joel Campbell.
Sporting thought they had pulled off a major coup by signing coach Jorge Jesus from arch-rivals Benfica in June 2015 but they continued to lag behind their neighbours who went on to win the title last season under Rui Vitoria, a bitter rival of Jesus.
Club president Bruno de Carvalho admitted that this season had been a disappointment but appeared to dismiss any suggestion that Jesus would be fired and said the squad would be trimmed.
"Throwing in the towel is not an option," he said on his Facebook page. "I will, together with Jorge Jesus, make sure the team is more competitive. The squad will be slimmed down during the transfer window to make it stronger."
(Writing by Brian Homewood in Berne; Editing by Amlan Chakraborty)
