Korir was favourite to win the men's 800m race and was due to run his first heat on Friday.
"Missing the World Indoor Championships ... because of #systemisdown!!!?” he posted on his Facebook account.
"We must let go of the life we have planned, so as we accept the one that’s waiting for us.
"When you work hard for your dreams some people don’t care but God is great. Isn't the end of everything."
Korir confirmed he was still in New York, where he had applied for the visa.
(Reporting by Neil Robinson, editing by Pritha Sarkar)
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