The German, one of football's most famous names, was earlier this week suspended from all football-related activity for 90 days by the FIFA ethics committee.
The 68-year-old has subsequently opted to cancel his trip to Brazil, telling Bild: "I won't be going to Brazil. I am basing that decision on the fact I will not be welcomed by FIFA."
FIFA claimed the sanction was as a result of Beckenbauer's unwillingness to cooperate in a committee enquiry into the bidding for the 2018 and 2022 World Cups.
However, Beckenbauer has denied such a refusal, saying he has nothing to hide.
He added: "People with a memory will remember that I declared just after (the vote) that the choice of Qatar surprised me. And I was one of the first to say that a World Cup over there was impossible and that it would have to be played in winter.
"I have absolutely nothing to hide and I am clearly also of the opinion that there must be sanctions for those responsible when corruption is proved.
"I was ready to answer all pertinent questions, but they sent them to me in a legal English that I could not understand in such a complex case.
"So I politely asked that the interview be held in German and I was refused. So I said, 'Never mind'."
