Osaka lost 6-4, 6-4 to unseeded Anastasija Sevastova while struggling with a back injury in the China Open semifinals Saturday.
The world number six made headlines last month when she stunned Serena Williams in NY to win her maiden Grand Slam, in a final overshadowed by the American's bitter row with the chair umpire.
It is a place that she is not altogether comfortable in.
"I think definitely as the weeks go by, I have this feeling of wanting to prove myself", Osaka said afterwards.
"If you don't win a tournament, then people will say, 'Oh, she hasn't won a tournament, ' " Osaka said.
On Friday, Osaka was unhappy with her performance in Friday's quarter-final win over Zhang Shuai.
Osaka added, "I know it's bad but I sort of read the comments".
Osaka, who was attempting to reach a third straight final after NY and Tokyo's Pan Pacific Open, was unhappy with her behaviour in Friday's quarter-final victory over Zhang Shuai.
Wozniacki, whose form has been patchy in the second half of the year, was ruthless on her serve and wrapped up the first set with an overhead smash to underline her superiority.
"Unfortunately, I have been playing through pain in my back this whole week", the world number six said in a subsequent statement released by organisers.
Top seed Juan Martin del Potro will be the strong favourite when he faces unseeded Georgian Nikoloz Basilashvili in the men's final later on Sunday.