Just days after the tennis superstar got bounced from the tourney, she and her NBA fiance, David Lee, jetted over to Capri, Italy ... where they're yachting, relaxing and taking bikini pics.

Yeah, she's clearly heartbroken.

Also, Wednesday is Caroline's 28th birthday -- and, judging from her vacation pics, she seems WAY happier being in sunny Capri than cloudy England.

Plus, this way, Caro gets to show off her insane physique -- which she did in the 2016 and 2017 Sports Illustrated Swimsuit Edition (awesome, btw).

As for the whole Wimbledon thing, Wozniacki lost in the 2nd round to Russian star Ekaterina Makarova ... after a swarm of flying ants invaded the court.

No flying ants in Capri ... just sayin'.