Lilly, 48, said she had not wanted to come out as yet but after a journalist from UK knocked on her door, she did not have an option but to open up.
"My sister Lana and I have largely avoided the press. I find talking about my art frustratingly tedious and talking about myself a wholly mortifying experience.
"I knew at some point I would have to come out publicly. You know, when you're living as an out transgender person it's ... Kind of difficult to hide. I just wanted - needed some time to get my head right, to feel comfortable. But apparently I don't get to decide this," Lilly, who was formerly known as Andy Wachowski, said in a statement to the Windy City Times, an LGBT weekly in Chicago.
"So yeah, I'm transgender. And yeah, I've transitioned to my family, my friends and many people at work, all of whom have been cool about it.
"Yes, thanks to my fabulous sister they've done it before, but also because they're fantastic people," she said.