One fan was even escorted out of Molineux during the first-half as tensions rose during another damaging defeat for manager Gary O'Neil.
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 fan in a Wolves shirt was seen being escorted out by security personnel.
It was a difficult match for the Wolves keeper, who conceded four goals throughout the game - three of which penalties.
READ MORE FOOTBALL
fuming
Jose Sa goes ballistic after taking down Chris Wood who ends Newcastle's losing run
Justin Kluivert creates Premier League history with stunning 67-year first at Wolves
To make matters worse for Sa, it was his foul on Bournemouth's Evanilson that resulted in two of the three penalties.
Wolves had managed to respond early with a diving header from Jorgen Strand Larsen which followed Jean-Ricner Bellegarde's cross, and the Norway international added another for himself in the second half.
Strand Larsen's efforts weren't enough, however, as a third penalty from Justin Kluivert made the damage 4-2 at the final whistle.
Kluivert's hat-trick from the spot etched his name into the history books too, as he became the first player to score three penalties in one game in the Premier League.
Most read in Football
Justin Kluivert creates Premier League history with stunning 67-year first at Wolves
Newcastle stars help fans as Crystal Palace's advertising hoarding collapses again
Eddie Howe makes puzzling decision following Alexander Isak's injury at Crystal Palace
Jurgen Klopp gave Arne Slot perfect gift when he quit - it's key to Liverpool title quest
His teammate Evanlison also became the first player to win three penalties in one game in the top-flight.
Wolves came into the 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.
Wolves travel to Goodison Park for their next Premier League clash, whilst Bournemouth host Tottenham.