McIlroy, speaking at a news conference in Seoul ahead of this week's Korea Open, deflected questions about his relationship with the Danish tennis player amid reports the high-profile pair had broken up.
"My private life is private and I would like to keep it that way," the Northern Irishman said in the South Korean capital.
McIlroy and Wozniacki are one of sport's glamour couples and were frequently seen supporting each other when their hectic schedules allowed.
While Britain's Daily Telegraph said Wozniacki was "absolutely devastated" about the breakdown of her relationship with the 2011 US Open and 2012 US PGA champion, the tennis player dismissed the reports as pure speculation.
"I'm so tired of the rumours. They occur every time Rory and I are apart a few days or do not write on Twitter," the former world number one told Danish newspaper Ekstra Bladet.
"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."
Wozniacki, who has slipped to ninth in the world rankings, said: "All is well" with the relationship.
"I just want to be allowed to live my life off the court without all the speculation," she added.
McIlroy, who claimed the order of merit on both sides of the Atlantic last year and won two major titles by the age of 23, has endured a difficult year.
After switching his club brand at the start of the season to Nike in a lucrative deal reported to be worth $250 million over 10 years, the 24-year-old slipped from world number one to sixth in the rankings.
Asked if his problems on the course were caused by mechanical or mental issues, McIlroy said: "I think it was a little bit of both.
"Mechanically my golf swing ... I fell into a couple of bad habits and I was trying to work myself out of it. It affects mental issues as well.
"Golf is a game of confidence and if you are confident it allows you to play better and freer ... with a free mind.
"Definitely nothing to do with equipment."
McIlroy said there was plenty of golf left in the year and ample opportunities for him to get that first win.
"I learned a lot this year," he added. "I was undergolfed for the first three to four months. It's the first year I struggled and I didn't live up to the expectation.
"This year is a little bit of a disappointment, but I have six tournaments left and will finish the season strongly."
In another off-course distraction, McIlroy recently terminated his contract with Horizon Sports Management and set up his own company to run his business interests.
That messy break-up reached a Dublin court on Monday, and while neither side has explained the reasons for the split, media reports said the golfer was unhappy with the commission the Dublin firm was charging for its services.
Horizon has said it was disappointed McIlroy had ended a contract that had a number of years left to run.
"Since October 2011 Horizon has achieved exceptional results for Rory in realising his commercial objectives," the company said in a statement.
"Under Horizon's management Rory has signed some of the most lucrative endorsements in sports history."
- Sports & Recreation