The shock defeat came as the 22-year-old Dane had to again deny rumours that she and her Irish boyfriend are engaged after she was photographed sporting a large sapphire and diamond ring in recent days.
"It was a Christmas present and it fit on this finger and I put it on and all of a sudden I hear that I'm engaged. But I'm not," Wozniacki said at a post-match press conference.
"So yeah, it's already twice we've had to shut down engagement rumours.
"Don't worry, we will let you know if that happens. We're just taking one day at a time," she added.
Wozniacki was forced to share the limelight yesterday with her famous boyfriend who patiently signed autographs for fans as he sat in the stands.
After a strong performance in the Brisbane International opening set, she lost the following two to Kazakhstan's Ksenia Pervak and went out of the tournament, which is a warm-up event for the Australian Open which begins on January 14.
She has been suffering from knee problems but was remaining positive of her chances ahead of the Open.
"You know, I'm still 10 in the world. Just the most important thing is that you're healthy. I had some struggles with my health. Obviously that makes a difference.
"But as long as I'm healthy and I can fight and be competitive, that is the most important thing."
Last month Wozniacki and McIlroy, who are the most high-profile young sporting couple in the world, featured in the 'Forbes' 2012 list of the Top 30 Under 30 in Sports.
He begins his golfing season in Abu Dhabi this month.