Thomas, who led Wales at the 2007 World Cup, is returning home in order to prepare for rugby league's Four Nations Series which starts at the end of this month.
Wales will be making their debut in the 13-a-side code's biggest competition outside the World Cup as they take on Australia, New Zealand and England and 37-year-old Thomas says featuring in the Four Nations, rather than analyzing events in Auckland, is now his priority.
"Had a blast this World Cup. But got to leave New Zealand now to train with Wales," Thomas, who captained the 2005 Lions following injury to Brian O'Driscoll, wrote on his Twitter account.
"Gutted I can't be here for the semis. Got to smash in the training to stay ready for next challenge of Four Nations with Wales, my priority!"
Thomas swapped union for league in the spring of 2010 and became a dual code international in October that year.
He broke his arm three months ago but Wales coach Iestyn Harris is hopeful he will feature in the friendly against Ireland before Wales' Four Nations opener against England on October 29.
"Gareth returns to training next week," said Harris, who also represented Wales at both union and league.
"If he's okay - I've spoken to him and he seems to be - then he'll hopefully have a hit-out against Ireland on Saturday October 22 in Neath, as will most of the guys.
"He needs to get some time on the field to prepare for the England game - that's important."