Novak Djokovic says he will cooperate with authorities as he prepares to leave Australia.
The tennis world number one failed in his bid to have his visa cancellation overturned, and will now be deported from the country.
It means he won't have the chance to defend his Australian Open title, with the tournament set to begin tomorrow.
In a statement, the Serbian said he will take time before addressing the issue again.
"I will now be taking some time to rest and to recuperate, before making any further comments beyond this," he said.
"I am extremely disappointed with the ruling to dismiss my application for judicial review of the minister's decision to cancel my visa, which means I cannot stay in Australia and participate in the Australian Open.
"I respect the court's ruling and I'll cooperate with the relevant authorities in relation to my departure from the country.
"I am uncomfortable that the focus of the past weeks has been on me and I hope that we can all now focus on the game and tournament I love.
"I would like to wish the players, tournament officials, staff, volunteers and fans all the best for the tournament.
"Finally, I would like to thank my family, friends, team, supporters, fans and my fellow Serbians for your continued support. You have all been a great source of strength to me."
Djokovic - who is unvaccinated against Covid-19 - initially thought he had a medical exemption to enter the country and play in the tournament.
However, on arrival in the country last week this was revoked but he successfully appealed the decision in court.
His second appeal against the second cancellation, however, has not succeeded.
Australian Prime Minister Scott Morrison say they took the decision to cancel the visa for a second time to keep the 'borders safe'.
It means Djokovic could be banned from the country for three years.
It also means that his bid for a record-breaking 21st Grand Slam title will be put on hold.
The next major is the French Open, which begins in May.