"The thought never occured to me," the world No 1 told Germany's ARD television in an interview in New York.
In a shaky voice, uncharacteristic of the German player known for her cool and self-assured manner, she admitted she had put all her efforts into her game and had neglected her financial affairs.
"Certainly in the last 10 years I have mainly concentrated on my tennis and I made a mistake that I did not take care of my financial affairs. Now I must take the consequences," she said, looking clearly upset by the affair.
"In the next days I must think about taking more responsibility or full responsibility for these things and do something about it," she said. She did not say when she planned to return home.
Her close friend, Hans Wilhelm Gaeb, vice-president of General Motors Europe, said: "Despite this unbelievably difficult situation, Steffi has kept a clear head. She is certain that she never consciously did anything wrong."
The German media reached a peak of hysteria in their quest to find her after her father's arrest.
"Where is Steffi Graf?" demanded the daily newspaper Bild, speculating whether Graf was in hiding in her Florida home or her New York residence - or if she had secretly flown home to her family's villa in southern Germany.
German television earlier showed footage of the 26-year-old player's two homes in the United States and an aerial view of the Graf residence in her home town of Bruhl - but no sign of her.
Graf, who won the Wimbledon title for the sixth time last month after victory over Arantxa Sanchez Vicario in one of the best women's finals in history, has a career income estimated at some pounds 48m. She had not commented previously on her father Peter Graf's arrest.
She has opted to stay in Germany and not move to a tax haven such as Monaco. She has said she left taxation business to her father and advisers and did not even know how much she won at Wimbledon this year.
Graf is scheduled to play in a tournament in Toronto on 14 August in preparation for the US Open, which starts on 28 August.Reuse content