Gyan, 25, who cost Sunderland 13.2 million pounds when they signed him from Rennes last August, moved to Al Ain on a season-long loan deal after Bruce told reporters he had shaken hands with him on Thursday after agreeing he would stay at Sunderland.
"Forty eight hours ago I had him in my office and said, this [speculation about a move] has gone on too long. He shook me by the hand and said 'I want to remain here and be a Sunderland player' and then within 48 hours he has manufactured a move to the United Arab Emirates," said Bruce.
"I will leave people to make their own conclusions about that but it baffles me how he can leave the best league in the world to go and play on the other side of the world. No disrespect to Abu Dhabi or wherever he has gone, but I find it really baffling."
Asked if he really believed he would return to the club as he said in the club statement, Bruce told the BBC: "No, I don't, if I am being honest I don't really believe that. I can't really see it."
Gyan, who came to prominence for Ghana during last year's World Cup in South Africa, was Sunderland's top scorer in his debut season with 10 league goals, but has been linked with a move away from the club for months.
After losing 2-1 to Chelsea on Saturday when their lack of firepower up front was fully exposed, Bruce told reporters: "He's been unsettled now, if we are being brutally honest, for weeks and months.
"[A move to] Real Madrid was the first one, which I laughed at five months ago, but it started with that and it's ended up with the United Arab Emirates.
"It's disappointing, but we draw a line under it. We decided to cut the best deal possible and we move on."
On Friday, Bruce said "parasites" had unsettled the player with talk of a move.
He added on Saturday: "People surround themselves - agents going to visit them, five of them on Monday going to visit him in his hotel room, threatening him and the rest of it.
"Who knows? Who knows what's gone on around him? That's one thing... you can't control. It's very difficult."
Gyan later told skysports.com: "The offer was too good to refuse. But I did not have a choice once Sunderland accepted Al-Ain's offer. I am now looking forward to playing in the UAE."
