Steve Simon, chairman of the WTA, said in a statement he had a "hard time believing" the email was written by Ms Peng or on her behalf.
One of China's biggest sporting stars, she has not been heard from since she made sexual assault allegations against a top Chinese official.
The email was shared on Wednesday.
Broadcaster CGTN published the correspondence - allegedly written by Ms Peng - online. Written in her voice, it claims she was not missing or unsafe, adding: "I've just been resting at home and everything is fine."