Sa clashed with fans at Molineux during his side's damaging 4-2 defeat to Bournemouth on Saturday as tensions rose.
Wolves were trailing Bournemouth 3-1 at the time of the incident, which unfolded just before the break.
Sa, visibly frustrated, walked around the goal he had been guarding and began pointing and shouting at a member of the crowd.
Security quickly intervened, stepping in to prevent him from getting any closer.
Soon after, a supporter in a Wolves shirt was seen being escorted out by security personnel.
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It was a difficult match for the Wolves keeper, who conceded four goals throughout the game - three of which penalties.
To make matters worse for Sa, it was his foul on Bournemouth's Evanilson that resulted in two of the three penalties.
The nightmare performance and following confrontation with a fan was mentioned to manager Gary O'Neil after the game.
And despite not commenting on the row in the stands, he did stick by his player who is part of a team in a 'difficult situation'.
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O'Neil said: "I think situations like this that we're in, as I say, has heightened emotions and responses.
"Jose Sa has my full support, whatever he needs from me he will get. He has my full support.
"The passes he received today he shouldn't have received. The first one he can clear much quicker. Of course he can.
"None of the players have anything but my full support. We tackle this difficult situation together."
Wolves came into the Bournemouth match sitting 17th in the Premier League, just above the relegation zone on goal difference.
Despite their precarious position, they had entered the game on the back of two consecutive victories.
But the pressure has continued to mount on boss O'Neil as his side have picked up just nine points in 13 games so far this campaign.
Despite a difficult run of fixtures at the start of the season, fans were booing at full time as Wolves drop back down to 18th position in the league and into the relegation zone.
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They are still just one point from safety though, and O'Neil has tried to keep positive despite the loss on Saturday.
He said: "We have just gone four unbeaten in the Premier League against some tough opponents.
"So we've had a bad day, but it's important not to overreact to a game that got away from us very, very early.
"Especially when we have two more big games coming up in the next 10 days."
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Wolves travel to Goodison Park to take on Everton in their next Premier League clash on Wednesday night.
Then they face a trip to West Ham next Monday evening.