Monday's 1-1 stalemate with Iraq's Al Shorta in the Asian competition compounded a slow start to the domestic season with the current contract of Ronaldo due to expire next summer.
"Al Nassr can announce that head coach Luis Castro has left the club," said a statement posted on X.
"Everyone at Al Nassr would like to thank Luis and his staff for their dedicated work during the past 14 months, wishing them the best of luck for the future."
Castro is the third coach to depart Al Nassr since Ronaldo's groundbreaking arrival in early 2023 on a contract that was said to net him 400 million euros over two-and-a-half years.
Frenchman Rudi Garcia quickly left that April, followed by a brief stint by Croatian coach Dinko Jelicic before Castro was appointed in July last year.
The highly decorated Ronaldo is yet to win a Saudi trophy with the Riyadh club, with his sole silverware so far being last year's Arab Club Champions Cup.
Al Nassr, who finished a distant second in the last Saudi Pro League season, have drawn twice in three matches at the start of the new campaign.
Ronaldo's arrival heralded a rash of high-profile signings by Saudi clubs last year, with Neymar and Karim Benzema among those opting for the oil-rich, conservative kingdom.
