Plans for the wedding were said to be well under way.
The couple reportedly hired a wedding planner in New York in February and planned to marry on Nov 8.
Last month, she told Lime magazine: “I want to be a relatively young mother, and I do not see it as being too far in the future." Her hairdresser, Dennis Knudsen, a celebrity stylist in Denmark, said he was “shocked” by the announcement.
It's a special moment, a special time in our lives," she said previously.
Miss Wozniacki had also recently hinted at the possibility that the couple may have a baby.
Miss Wozniacki had also told how Mc Ilroy, who has a £6 million house in Florida, sought her parents' blessing before asking her to be his wife.
"They were very happy for me, and his parents as well and everyone around us.
The couple, who had been together for more than two years, had separated before – once in October after Miss Wozniacki posted an unflattering picture of her sleeping boyfriend on Twitter.
But they appeared happy in recent months – frequently referring to each other on Twitter - and spent the past week together in Monte Carlo, with Mc Ilroy posting a picture online on Sunday of the view from the restaurant Nobu.
Invitations had been delivered to a number of high–profile guests, including Bill Clinton, the former US president, it was reported.
Among the rumoured venues for the wedding was the New York Palace hotel's Villard Mansion, opposite St Patrick's Cathedral.