HONG KONG—Chinese tennis star Peng Shuai denied accusing anyone of sexual assault, suggesting a global wave of concern for her safety and wellbeing was the result of misunderstandings.

“I’ve never claimed, or written about anyone having sexually assaulted me. This is very important and needs to be clear,” said Ms. Peng in a six-minute video interview with Singapore’s Lianhe Zaobao, a Chinese-language publication run by state-controlled Singapore Press Holdings Ltd. , that was posted online Sunday.