Williams said she "abhorred" the Auckland wind and called the conditions the "least favourite" she had played in after losing 6-4, 6-7 (7/5), 6-4 to world number 72 Madison Brengle on Wednesday.
As she prepared to go to Melbourne for the Australian Open, where she will attempt to win an Open-era record 23rd Grand Slam title, Williams said she would like to "get to somewhere better, some warm weather".