Iranian media named the players as Zahra Sarbali, Mona Hamoudi, Zahra Ghanbari, Fatemeh Pasandideh and Atefeh Ramazani-Zadeh.
It said other team members were still in Australia and quoted Shojaei as saying the squad had planned to return to Iran via Dubai, but the United Arab Emirates had not allowed them to do so.
It said efforts were now expected to be made for the team to return via Malaysia and Turkey.
The Iranian team sang their national anthem and saluted before their second match against Australia, sparking fears among human rights campaigners that the women had been coerced by government minders.
When asked whether Australia would grant the players asylum, Matt Thistlethwaite, the assistant minister for foreign affairs and trade, said the government could not go into individual circumstances for privacy reasons.