The 23-year-old athlete, who was the 13th seed, unexpectedly exited the tournament in the first round, losing her match with a score of 7-6, 4-6, 6-2.
While speaking to reporters after the game Wozniacki asked the press to respect her privacy in regard to her recent breakup from golf star Rory McIlroy.
"The only thing I really have to say is that to thank everybody for their support and sweet messages," she said. "That's really nice. What happens in my personal life, I just want to really keep that between my closest people around me. I just have to move on."
Asked if it was hard to get ready for the tournament in light of the troubles going on in her personal life, Wozniacki said she "really tried to focus on my match and on what I had to do out there."
"It doesn't make it easier that I haven't been able to play really that many matches because I have been injured," Wozniacki, who withdrew from her second-round match in Rome two weeks ago with a bad knee, told reporters. "I felt a little bit rusty, and it wasn't really a pretty match. But I tried."
Wozniacki's early exit from the French Open comes less than a week after the 25-year-old Northern Irish golfer announced he ended the pair's engagement after sending out the wedding invitation because he realized he "wasn't ready for all that marriage entails." The two had been engaged since December 31, 2013.