"The players and the coach have absconded after the team was knocked out of the regional tournaments which ended last weekend," Nicholas Musonye, CECAFA's secretary general, told Reuters by phone.
It is not the first time players from the national squad have defected abroad, seeking to escape one of the world's most repressive states that is ruled by a reclusive president.
Last December, 17 players and the team doctor claimed asylum in Uganda, 18 months after 13 players from an Eritrean club side sought refuge in Tanzania. In 2009, a dozen members of the national team disappeared in Kenya.
"We will discuss this issue of Eritrean players absconding in the next general assembly meeting to get solution on this matter," Musonye said.
"We don't want to have problems in future. This is becoming chronic to the association."
Last year, the United Nations human rights chief Navi Pillay accused the Asmara government of meting out summary executions, torture and detaining thousands of political prisoners.
Thousands of Eritreans try to escape from the Red Sea state every year and many die making perilous sea-crossings in a desperate bid to reach Europe.