"She explained that she is safe and well, living at her home in Beijing, but would like to have her privacy respected at this time," it said.
"That is why she prefers to spend her time with friends and family right now. Nevertheless, she will continue to be involved in tennis, the sport she loves so much.”
Earlier Sunday, Peng was seen attending a Beijing tennis tournament, in official photos of the event, marking her first public appearance since she made her accusations against former vice premier Zhang Gaoli, and they were scrubbed from the Chinese internet.
The 35-year-old two-time Grand Slam doubles champion alleged earlier this month that Gaoli, now in his 70s, forced her into sex during an on-off relationship spanning several years.
Following a global outcry, including from tennis superstars and the United Nations, Chinese state media reporters have released a flurry of footage purporting to show all is well with Peng.
A video from the Fila Kids Junior Tennis Challenger Finals event, tweeted by Global Times newspaper editor Hu Xijin, shows Peng standing in a stadium among a group of guests whose names are announced to a smattering of applause.
A Global Times reporter tweeted another video showing Peng signing autographs for children at what appears to be the same stadium before posing for photos with them.
Hu also posted two other videos on Saturday, the first showing Peng walking into a restaurant wearing a coat, knit cap and face mask, and the second of a maskless Peng sitting at a table chatting with people over a meal.
AFP could not verify the authenticity of the videos.
Hu tweeted in English that the second video shows "Peng Shuai was having dinner with her coach and friends in a restaurant. The video content clearly shows they are shot on Saturday Beijing time".
The chat appears to be staged. Peng appears relaxed in the footage, which appears to have been taken with a mobile phone, but those with her are at pains to emphasise the date in somewhat stilted comments.
Peng's claims against Zhang were the first time China's #MeToo movement has touched the highest echelons of the ruling Communist Party.
They were quickly scrubbed from the Twitter-like Weibo platform, and concerns for her safety have mounted ever since.
The Women's Tennis Association has threatened to end lucrative contracts with China unless it gets word of Peng's safety.
On the restaurant videos, WTA boss Steve Simon said he was glad to see the images but "it remains unclear if she is free and able to make decisions and take actions on her own, without coercion or external interference".
"This video alone is insufficient," Simon said in a statement.
"I have been clear about what needs to happen and our relationship with China is at a crossroads."
A WTA spokeswoman later told AFP that Sunday's images from the Beijing tournament still did not address their concerns.
IOC Athletes' Commission chair Emma Terho nevertheless said she was relieved after Sunday's video call, in which she took part.
"I was relieved to see that Peng Shuai was doing fine, which was our main concern," Terho said in the IOC statement.
"She appeared to be relaxed. I offered her our support and to stay in touch at any time of her convenience, which she obviously appreciated."
'Independent, verifiable proof'
A growing chorus of voices in the sports world and beyond has been demanding answers about Peng's situation.
US President Joe Biden's press secretary said his administration wanted China to "provide independent, verifiable proof" of her whereabouts.
Britain's foreign office also said it was "extremely concerned" and urged China to release verifiable evidence, while France's foreign minister said she should be allowed to speak freely to clarify her situation.
The United Nations has insisted on a fully transparent investigation into the claims made by Peng.
Some of the biggest names in tennis have spoken out about the case, including Serena Williams, Novak Djokovic, Roger Federer and Naomi Osaka.
Peng represented China at the Beijing, London and Rio de Janeiro Olympics and won gold for China at the 2010 Asian Games.
She is a former Wimbledon and French Open doubles champion.