It has been claimed that the Northern Irishman called time on their two-year romance in order to focus on his career.
However, Wozniacki, who was said to have been left devastated, has insisted that there is "nothing" in the rumours.
"I'm so tired of the rumours," ESPN quotes Wozniacki as saying. "There is nothing in it and from now on, I just think that I will keep my private life private.
"It is so annoying that the media and the so-called sources constantly spread the rumours. They write just what they want. I just want to be allowed to live my life off the court without all the speculation."
McIlroy is currently amid a court battle with his former agent Horizon Sports Management.