The whereabouts of former doubles world number one Peng has been a matter of international concern for nearly three weeks after she alleged that a former senior Chinese government official sexually assaulted her.
She appeared at a dinner with friends at the weekend and at a children's tennis tournament in Beijing with photos and videos published by Chinese state media journalists and by the tournament's organisers.
But they have done little to quell concerns.
"It was good to see Peng Shuai in recent videos, but they don't alleviate or address the WTA's concern about her well-being and ability to communicate without censorship or coercion," a WTA spokeswoman said in an e-mail.
Asked about the call with the IOC, the spokeswoman said "this video does not change our call for a full, fair and transparent investigation, without censorship, into her allegation of sexual assault, which is the issue that gave rise to our initial concern."
The IOC said in a statement that Peng held a 30-minute call with its president Thomas Bach on Sunday and thanked the Olympic organization for its concern.
"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," the IOC's statement 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."
The concern over Peng comes as global rights groups and others have called for a boycott of the Winter Olympics in Beijing in February over China's human rights record.
The WTA has also threatened to pull tournaments out of China over the matter.
Earlier this month Peng posted on Chinese social media that former vice-premier Zhang Gaoli had coerced her into sex and they later had an on-off consensual relationship.
The post was quickly deleted and the topic has been blocked from discussion on China's heavily censored internet.
Neither Zhang nor the Chinese government have commented on Peng's allegations.
The United States and Britain have also called for China to provide proof of Peng's whereabouts.
Current and former tennis players, including Naomi Osaka and Billie Jean King joined the calls seeking to confirm she was safe, using the social media hashtag #WhereIsPengShuai?
Men's singles world No.1 Novak Djokovic said it would be strange to hold tournaments in China unless the "horrific" situation was resolved.