The Moroccan was pictured signing a contract with the Egyptian side on their official website after failing to return for pre-season training at Easter Road.
Benjelloun, whose compatriot Merouane Zemmama has returned, spent last season on loan at Belgian sides Charleroi and Roselare after falling out of favour under Mixu Paatelainen.
"I know that he was given permission to talk to other clubs and I am disappointed that he didn't want to come back," Hughes told the Evening News.
"I want to work with players who are committed and want to play for the jersey."
Hughes will name his new captain on Wednesday following the departure of Rob Jones to Scunthorpe.
Jones' former central defensive partner, Chris Hogg, is favourite for the role after wearing the armband during Saturday's 4-0 friendly victory over Dunfermline.
And the 24-year-old is confident he will be up to the task.
"I feel that the best way is to lead by example in any case so, if it happens, then it will be a natural progression for me," Hogg told the club's official website.
"It would not faze me or change my approach in any way."