The Northern Irishman, who popped the question after a New Year's Eve fireworks show in Sydney, Australia in January, has admitted that he "wasn't ready" for marriage.
In a statement released via the sportsman's communications consultancy, he said: "There is no right way to end a relationship that has been so important to two people.
"The problem is mine. The wedding invitations issued at the weekend made me realise that I wasn't ready for all that marriage entails.
"I wish Caroline all the happiness she deserves and thank her for the great times we've had. I will not be saying anything more about our relationship in any setting."
The couple, who have been dogged by break-up rumours in the past, began dating more than two years ago.