The well-being of Peng, a three-time Olympian, became a matter of global concern when she appeared to allege on social media that a former Chinese vice premier, Zhang Gaoli, had sexually assaulted her in the past.
She spoke to a French sports newspaper on the sidelines of the Beijing Winter Olympics.
In an interview with L'Equipe at a hotel in Beijing, Peng denied she had made such allegations.
"In the text we could see in Europe, you accused someone of sexual assault. What did you really write? We don't understand," asked the paper.