TMZ Sports reports that Rondo got into a private car at the team's hotel in D.C., and departed for the Verizon Center.
A Bulls spokesperson told the website that Rondo often goes to the arena early before the team bus departs the hotel, so he can get in extra work before the game.
Rondo, who played 27 minutes in Tuesday's 101-99 loss, was coming off a five-game benching by Bulls coach Fred Hoiberg.
The 30-year-old said he was told by a staff member that the Bulls and Hoiberg benched him in order to "save him from himself."
"I thought it was bulls—," Rondo said. "Save me from myself? I never heard that before in my life. But I guess [they are] trying to do the best thing for me."