"First of all, I want to emphasize something that is very important. I have never said that I wrote that anyone sexually assaulted me," Peng told the paper.

"I need to emphasize this point very clearly," she added.

Peng did the bizarre interview with the outlet ... who said they interviewed her at a promotional event for the Beijing Olympic Winter games, set to begin on February 4.

According to the outlet, the video of Peng was taken in Shanghai ... and in it, Peng makes it clear that she has been staying at home in Beijing, but added she was free to come and go as she chose.

Of course, Peng's well-being and safety became of international concern after the 35-year-old seemingly disappeared following a post on her verified Weibo social media account ... accusing former Vice Premier Zhang Gaoli of sexually assaulting her several years ago.

Gaoli is one of the most powerful people in the country of 1.4 billion.

But, the post was swiftly removed and Peng seemed to drop out of sight -- despite some very strange and seemingly staged appearances -- leading many to question if she was in danger.

Everyone from Naomi Osaka to Novak Djokovic expressed concern for Peng.

The WTA -- who has been incredibly outspoken about the situation -- released a statement in response to the interview, saying it remains concerned about Peng's "well-being and ability to communicate without censorship or coercion."

"As we have consistently stated, these appearances do not alleviate or address the WTA's significant concerns about her well-being and ability to communicate without censorship or coercion," the WTA said in a statement.