Rodriguez later issued a statement through his spokesman, calling the hearing "a farce."
"I am disgusted with this abusive process, designed to ensure that the player fails," said the statement which was released after Rodriguez left the hearing before arbitrator Fredric Horowitz at MLB headquarters in New York.
"I have sat through 10 days of testimony by felons and liars, sitting quietly through every minute, trying to respect the league and the process.
"This morning, after Bud Selig refused to come in and testify about his rationale for the unprecedented and totally baseless punishment he hit me with, the arbitrator selected by MLB and the players' association refused to order Selig to come in and face me.
"The absurdity and injustice just became too much. I walked out and will not participate any further in this farce."
Major League Baseball had no comment.
Wednesday was the 12th day of hearings on the grievance filed by the players' association to overturn Rodriguez's lengthy suspension.
Selig had handed down the season-plus punishment in August for violating MLB's joint drug agreement over the Yankee third baseman's alleged involvement with the now-shuttered Florida anti-aging clinic Biogenesis suspected of dispensing performance enhancing drugs.
Thirteen other players were suspended for their ties to Biogenesis with 12 of them agreeing to 50-game suspensions, and former National League most valuable player Ryan Braun accepting a 65-game ban.
Rodriguez, in appealing the suspension, has charged he was singled out for excessive punishment by MLB and calling into question the way evidence has been gathered in the case.
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