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An email was sent from Ms Peng denying she was missing.
The head of the Women's Tennis Association has doubts about an email that was released by Chinese state media.
Steve Simon, Chairman of the WTA, said in a statement that he had a hard time believing that the email was written on her behalf.
She has not been heard from since she made sexual assault allegations against a top Chinese official.
On Wednesday, the email was shared.
The correspondence was published online. It was written in her voice that she was not missing or unsafe and that she was resting at home.
The sexual assault allegation was false according to the email.
Many responding on social media have cast doubt on the authenticity of the email, including pointing out that a typing cursor appears to be visible on the screen of the email that was published.
The former number one-ranked tennis doubles player had not been heard from since posting an allegation about the former Vice Prime Minister on a Chinese social media site.
She said she was forced into sexual relations with Mr. Zhang, who was a close ally of Chinese President Xi Jinping, in a post that was later taken down. She hasn't been heard from since.
The leading voices from the world of tennis have spoken out about Ms Peng.
Steve Simon said the email he received raised his concerns about her safety and whereabouts.
He said that he had a hard time believing that the email was written by Peng Shuai and that she was safe.
The sexual assault allegation must be investigated with full transparency and withoutcensorship.
He said that the voices of women need to be heard and respected.
A prominent figure in Chinese tennis is Ms Peng. She and Hsieh Su-wei won two Grand Slams at the French Open.
