The 23-year-old Dane vowed to move on in her life after Wickmayer won a high-quality baseline battle 7-6(5) 4-6 6-2, condemning Wozniacki to her first opening round defeat at Roland Garros since her debut in 2007.
At the post-match press conference, the former world No.1 said she would not answer questions about her private life, but made a short statement.
"The only thing I really have to say is that, you know, thank everybody for their support and sweet messages. That's really nice.
"You know, what happens in my personal life, I just want to really keep that between my closest people around me. You know, I just have to move on."
She later added: "You're not prepared for something like this, and it came as a bit of a shock. You need to just keep going and keep moving forward."
The players swapped breaks of serve in the first set and the advantage swung one way and then the other in the tiebreak before the Belgian ended a superb rally with a backhand crosscourt winner to take it.
Wozniacki wasted five break points in the sixth game of the second set but made amends with the score at 5-4 when Wickmayer, serving to stay in the set, netted a simple forehand to bring the Dane level.
But Wickmayer, going for her shots, hit back immediately by breaking Wozniacki in the first game of the final set and again in the fifth.
The Dane broke back thanks to a lucky net cord and a fine drop shot but Wickmayer, ranked 64th in the world, was now clearly on top and sealed victory on her first match point after Wozniacki netted.
Wickmayer was delighted with her win and said Wozniacki was not the only player with personal problems. "I think she's strong, she's going to recover. She's been through a lot, but she was No.1 for a while, so I think she'll get over it."
McIlroy, also a former world No.1 in his sport, said he called off the engagement after getting cold feet while sorting out the wedding invitations.
The Northern Irishman told the world of his pain at the breakup on the eve of last week's BMW PGA Championship at Wentworth but he went on to win the European Tour's flagship event.
(Editing by Ed Osmond/Julien Pretot)
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