The couple ended their engagement on Wednesday, just days after sending out wedding invitations.
McIlroy, who is competing in this week's BMW PGA Championship at Wentworth, released a statement claiming that he "wasn't ready" for marriage.
Wozniacki has taken to her Twitter account to express her feelings on the subject while also crediting Liverpool Football Club for helping her through the break-up.
She tweeted: "It's a hard time for me right now.Thanks for all the sweet messages!Happy I support Liverpool right now because I know I'll never walk alone."
The couple announced their engagement in January after more than two years together.