Pick it up and TAKE IT HOME with you, or put it in a bin for the purpose. In the UK, the Forestry Commission suggests flicking it off the pathways with a stick. Most ‘plastic bags’ are biodegradable.
Definitely do not ‘just leave it’. And I don’t think burying it is an option unless you carry a shovel with you on your walks.
Just to add some people will put a bag to one side, to pick up on the way home rather than carry it all the way there, and back. So the parked bags you might see, are simply that – parked.