Her departure followed a speech by U.S. Commerce Secretary Howard Lutnick, which was heavily critical of Europe.
Lutnick's combative remarks sparked heckling from attendees, leading BlackRock CEO Larry Fink to end the dinner prematurely.
The ECB declined to comment on the incident, while the U.S. Commerce Department and the World Economic Forum did not immediately respond to inquiries.
Separately at Davos, Donald Trump called for "immediate negotiations" for the US to acquire Greenland, stating he would not use force but criticised Denmark for being "ungrateful".
