The two-time Grand Slam winner, hugely popular at the Australian Open where she won the title last year and reached the final in 2011 and 2013, unexpectedly retired in September.
She is a guest of honour at Melbourne Park this year and told the crowd in Rod Laver Arena ahead of Roger Federer's opening match that she was expecting her first child.
"Dennis and I are so excited. Our first child will arrive in the summer," she said to huge cheers and congratulations from Maria Sharapova.
"It's something that I believe she's wanted for a really long time. It's really nice to be able to settle down and focus on her family and her husband and her future child."
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In statement, Li said she was overjoyed.
"A mere 12 months ago, I stood on this court clutching the Australian Open trophy tightly in my hands, a huge grin on my face, overwhelmed with joy and a sense of accomplishment that I shared with everyone who had helped me along the road to this incredible achievement," she said.
"Over the years, they have supported me and truly helped my success, so it felt just right to let them in on a little secret I've been holding on to for a few months now.
"This summer, Dennis and I are expecting our first child. We are overjoyed! And it really feels like this baby is going to enter the world already having about 15,000 friends."
Li, who won nine titles in her career, is credited with introducing tennis to the masses in China.
The move meant she was able to choose her own coaches and keep most of her winnings rather than giving them to the government.