SHANGHAI—UCLA’s basketball team left China on Saturday night without three players who are being investigated for shoplifting in the eastern Chinese city of Hangzhou, indicating their legal troubles continue at the end of a dramatic week.

Hangzhou police said they questioned the players—LiAngelo Ball, Cody Riley and Jalen Hill—at a station house on Tuesday about suspected shoplifting but that day released them without charges to their hotel while the investigation continues. The young men have remained at the hotel since then,...