The Portuguese legend made a hasty exit after United were held to a 1-1 draw in the Premier League match but Neville was disappointed with his reaction and believes it makes the coach's job harder.
The Sky Sports pundit said: "I watched the game and I watched him walk off. I can't say I liked it.
"Is Cristiano upset when he doesn't play? Yes. Is Cristiano upset when he doesn't score? Yes. Is Cristiano annoyed as hell when the team don't win? Of course. We know those things. He doesn't have to prove that.
"He walks off the pitch, muttering to himself, which throws questions up in the air. What is he saying? Who is he annoyed with? It can only come back to the manager.
"Cristiano is smart enough to know actions like that will bring real pressure on the manager - more than he is already under.
"Cristiano is not always going to score and he maybe can't play every game. But if he's going to walk off like that, it's going to put immense pressure on Ole Gunnar Solskjaer."
Neville praised the job that Solskjaer had done in the Old Trafford hotseat but believes that he can have no excuse if he fails to deliver silverware this season.
He said of his former team-mate: "The worst that could happen for me with Ole is that he's been an incredible bridge, from a period where the club lost its identity and it lost its way.
"There is no doubt the club lost its way in reaction to Sir Alex Ferguson's leaving the club. Ole has returned some of the values to the club.
"There's a group of players who I think do want to play for the club. The signings have been a lot more Manchester United-like.
"But I do now think with the signings of Cristiano Ronaldo, Jadon Sancho and Raphael Varane, recognised world-class talents, comes a pressure to deliver."