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.
"The wedding invitations issued at the weekend made me realise that I wasn't ready for all that marriage entails.
The golden sporting couple 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!!!!"
McIlroy captured his first major title at the 2011 US 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 US Open final.
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