"Cajuda threatened to take the case to world governing body FIFA," Zamalek treasurer Yehia Mostafa told FilGoal.com on Tuesday.
Cajuda was axed in December following bad results in the Egyptian League and Arab Champions League. French boss Henri Michel was appointed.
"Zamalek chairman Mamdouh Abbas reached a financial compromise with Cajuda but the Portuguese didn't fulfill what was agreed," Mostafa said.
"According to the agreement, Zamalek would have paid $75,000 on condition that Cajuda provides a written acceptance.
"That didn't happen so we didn’t pay. Cajuda won't get his money immediately if he appealed to FIFA," Mostafa added.
Zamalek have recently paid former coach Carlos Cabral following a similar dispute that saw FIFA order the club to hand the Brazilian his due money.