"I've never seen anything like it," said Le Roy.
Gyan was subjected to tauunts by the crowd at Accra's Ohene Djan stadium after a number of poor finishes and an unconvincing display in Ghana's second Group A match.
Clearly shaken by the crowd turning on him, Gyan was eventually taken off by Le Roy in the 65th minute, as his display was described as "lethargic and a bundle of nerves" by one local commentator.
"He was threatened, his mother was threatened, his father was threatened. It's the stupidity of the world that we live in."
Claude Le Roy, Ghana coach
After a torrent of abuse from local media and telephone threats Gyan and brother Baffour, who plays for Saturn in Russia, packed their bags and were set to walk out of the squad on Saturday morning.
"They were ready to leave, but I had a long chat with him yesterday morning and everything's okay now, he trained normally in the afternoon and he's still with us," Le Roy reported.
The veteran French coach said he was shocked by the treatment dealt out to his star player who scored a penalty in Ghana's 2-1 opening win over Guinea.
"It was more than just unfair criticism. He was threatened, his mother was threatened, his father was threatened. It's the stupidity of the world that we live in."
Finding his rhythm
At the post match press conference on Friday, Gyan cut a subdued figure, clearly affected by the abuse.
"Personally I'm very sad about what happened. I'm only 22 years old, and when things aren't going well you need encouragement from the crowd," the striker said.
"I'm very sad because Ghanaians know what I can do on the field. The downfall of a man is not the end of his life."
"I'm very disappointed. I'm sad for what went wrong yesterday but I'm working on my play for the next game and will find my rhythm. I wish I could score five goals a game!"
Asamoah added: "I'm very sad because Ghanaians know what I can do on the field. The downfall of a man is not the end of his life.
"I have played 22 games for my country and scored 15 goals at my age. "So if things are not going well, I expect encouragement from the fans, not criticism.
"I am working on my play and I will find my rhythm. If things go well it will be better for the team and Ghanaians as well."
Recounting the circumstances surrounding the near walkout, one Ghana player, who did not wish to be named, told the BBC: "We were shocked when we saw Asamoah and Baffour dressed up to leave the national team hotel.
"Some radio stations had been going on all morning with personal attacks on Asamoah and in fact we are all sick of this.
"Players and coaches came in and we ensured that they stayed with the team."