Opponents of the Arizona statute want the 2011 all-star game, slated for Phoenix, moved out of the state.
After meeting with team owners in New York, Selig didn't directly address the boycott issue and instead cited baseball's recent record of hiring minority coaches and other efforts to bring diversity to the game.
"We're a social institution," Selig said. "We've done everything we should do. It's our responsibility. We're privileged to do it. And we'll continue to do it.
"That's the issue and that's the answer. Like I told the clubs today, 'Be proud of what we've done.' They are. We control our own fate, and we've done very well."
But asked directly whether the 2011 all-star game would remain in Phoenix, Selig replied: "I think I adequately answered that question," MLB.com reported.
Ken Kendrick, managing general partner of the Arizona Diamondbacks, said he hoped the immigration situation could be resolved without harming the state.
"Unfortunately, this whole situation is sad and disappointing for all of us who are associated with the Arizona Diamondbacks," he said.
Arizona's immigration law has already cost the state millions of dollars in meetings and events business even though it doesn't go into effect until July 23, tourism officials said.
Phoenix officials estimate the city could lose up to $90 million in hotel and convention business in the next five years because of the law, The Washington Post reported Thursday.
The state's hotel and lodging association reported 23 canceled meetings, costing $6 million to $10 million in lost revenue. On Wednesday the Los Angeles City Council voted to boycott travel and business with companies based Arizona.
The Republican Party, at the National Council of La Raza's urging, decided against having the 2012 national convention in Phoenix, choosing Tampa, Fla., instead.
Arizona Republicans, including Gov. Jan Brewer, said the law is necessary to combat illegal immigration. Among other things, the law makes it a crime to be in the state illegally and requires law enforcement officers to check the legal status of people they suspect are undocumented.
"You have a sport that the Latino community loves, whether you are a recent immigrant or native born, Latinos see baseball at their sport," said Clarissa Martinez De Castro, director of immigration and national campaigns at NCLR. "The question is: As a sport where do they stand?"
The MLB Players Association opposes the law, as has the Phoenix Suns professional basketball team. The team wore "Los Suns" jerseys last week as a push-back against the law.
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