The club didn't say on its Twitter account why Price left, but multiple reports suggest he was hurt after taking a shot off his leg.
Price was participating in his first practice with the Canadiens since helping Canada win a gold medal at the Sochi Olympics.
The Canadiens host the Detroit Red Wings tonight. It's not clear if Price will be in goal for the game.
Price played in all but one of Canada's games in Sochi, including a 3-0 win over Sweden in the gold medal game.
Price has a 26-17-5 record, a .925 save percentage and a 2.33 goals-against average with Montreal this season.