An informal, unannounced, abrupt, or unexcused departure. Used as a negative comment, to indicate that leaving in this way was rude or improper -- or possibly even sneaky and immoral.
Supposedly, in the 1700s it was the custom in France to leave a reception without taking leave of the host or hostess. This may or may not be true -- we English tend to name things we dislike after those of other nationalities (the Dutch, Irish, and French seem to be the ones who bear the brunt of this) .