The player had been granted a humanitarian visa overnight along with a support worker, bringing the Iranian cohort seeking refuge in Australia to seven.
But she changed her mind on Wednesday morning and contacted the Iranian embassy, Home Affairs Minister Tony Burke said.
"In Australia, people are able to change their mind, people are able to travel," he told parliament.
"We respect the context in which she has made that decision."
The remaining women who stayed in Australia had to be moved to a safer location, he said, because the player gave away their location when contacting the embassy.
"Unfortunately, in making that decision, she had been advised by her teammates and coach to contact the Iranian embassy and get collected," he said.
Mr Burke earlier said government officials did not rush or pressure the women into making a decision on whether to accept a humanitarian visa following the team's exit from the Asian Cup.
"The one pressure we couldn't take away was the context ... what pressures they might have felt with their own family members," Mr Burke told reporters in Canberra.
Demonstrators opposed to the Iranian regime protested at Sydney airport on Tuesday evening as the squad arrived from the Gold Coast.
The returning Iranian players landed in Malaysia on Wednesday morning.
Squad members had also asked Mr Burke to help their families get out of Iran.
"The challenge with Iran is we can't even get Australian citizens, necessarily, out of Iran," he said.
"And I was very up front in my meetings with people because they'd ask me, 'Can I now help their family members if I help them?'"
There are fears for the rest of the team's safety on their return to Iran after they were labelled "wartime traitors" on Iranian state media for refusing to sing the national anthem before their opening match.
Mr Burke said he could not provide details on what the fate of the returning women could be.
"We didn't talk in this precise terms, but I'm very mindful of the different comments that have been made by the Iranian-Australian community," he said.
The team had left a Gold Coast hotel on Tuesday afternoon under police guard, with one player appearing to be dragged by a teammate onto the bus.
Mr Burke said the footage made it clear that each person had to make their decision without anyone else from the delegation near them.
Matildas player Clare Hunt told a media conference the footage was difficult to watch.
"We're trying to do as much as we can, not as players, but as a country in general to support them," she said.
"Our thoughts are with those players at the moment. There's not much that we can do as players other than keep them in our minds."
Hadi Karimi, a Brisbane-based human rights activist who was part of the demonstrations, told AAP the women heading back to Iran were in danger.
"We were chanting, we were there for 24 hours outside that hotel on the Gold Coast," he said.
"Their life is in danger, they've been threatened."
Members of the Iranian soccer team delegation who were connected to the Islamic Revolutionary Guard Corps were not granted a visa to enter Australia for the Asian Cup, Mr Burke said.
The team members previously confirmed to be staying in Australia were captain Zahra Ghanbari and players Fatemeh Pasandideh, Zahra Sarbali, Atefeh Ramezanizadeh and Mona Hamoudi.
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