In video obtained by Eyewitness News, the Cleveland native is heard warning the crowd, telling them he would walk off if another item is thrown.
"If I see one more [expletive] thing on this [expletive] stage, I'm leaving," said Cudi.
At one point in the video, a water bottle reportedly hit him in the face.
The rapper, whose real name is Scott Mescudi, was then seen walking off the stage.
The popular hip-hop festival kicked off Friday. Rapper Ye, formerly known as Kanye West, was originally supposed to headline the festival, but dropped out earlier this week.