The 25-year-old Northern Irishman and two-time major champion said the issuing of the invitations had made him aware that he was not ready for marriage.
“There is no right way to end a relationship that has been so important to two people,” he explained through a statement issued by his Dublin-based communications consultants.
“The problem is mine,” McIlroy said.
|Rory McIlroy (right) hugs Caroline Wozniacki during the Masters golf tournament in Augusta, Georgia, April 10. (AP-Yonhap)|
“The wedding invitations issued at the weekend made me realize that I wasn’t ready for all that marriage entails.
“I wish Caroline all the happiness she deserves and thank her for the great times we’ve had. I will not be saying anything more about our relationship in any setting.”
The golden sporting couple’s high profile break-up came on the eve of McIlroy’s appearance at the European PGA Championship.
He later told a Wentworth press conference that he had never considered pulling out of the European Tour’s flagship event.
“I just want to get my head into golf and concentrate on the tournament and try and do well,” the Irishman told reporters.
“I want to drive straight into it and keep myself busy.
“I am not going to lie ― it is going to be very difficult but at least when I get inside the ropes I can try and concentrate on the shots at hand.
“I didn’t think there was any reason to pull out.
“There is no good time to end a relationship ― I had made a commitment to be here. This is the European Tour’s flag ship event and I am very proud to be part of the European Tour.
“The Tour has been very good to me over the last number of years and I thought it was my duty to come back and play in this event. Once I gave my word I was never going to go back on it.
“My schedule is here, Memorial, U.S. Open, Irish Open, Scottish Open and British Open and I don’t think that is going to change.
“It is no different to anyone else. Everyone has been through break-ups and I want to concentrate this week on answering questions on golf.”
McIlroy and Wozniacki met nearly three years ago in Munich at a boxing match between David Haye and Wladimir Klitschko and the relationship has been in the news pages ever since.
McIlroy, a Manchester United fan, at least had the consolation of playing with three of his footballing heroes in Wednesday’s Pro-Am.
He was grouped with 1999 Champions’ League winners Teddy Sheringham, Phil Neville and Peter Schmeichel.
McIlroy and Wozniacki announced their short-lived engagement on last New Year’s Eve.
The former world number ones in their chosen sports posted pictures of themselves on Twitter with a diamond ring.
“Happy New Year everyone! I have a feeling it’s going to be a great year!! My first victory of 2014 #shesaidyes!!” McIlroy wrote.
Wozniacki posted: “Happy New Year everyone! Rory and I started 2014 with a bang! ... I said YES!!!!”
The engagement came after rumors of a split in 2013.
McIlroy captured his first major title at the 2011 U.S. Open and added another at the 2012 PGA Championship.
Wozniacki, 23, still seeks her first Grand Slam title, her deepest run in a major event being to the 2009 U.S. Open final.