"I am deeply saddened to confirm that multiple members of my family lost their lives as the victims of Typhoon Haiyan," Day, whose mother Denning is Filipino, said in a statement on Sunday.
"My family and I are thankful for all who have reached out with their prayers and concern. We feel devastated for all who have been affected by this horrific tragedy. ... I will have no further public comments at this time. Please pray for all who have suffered loss."
Nearly 4,000 people have been confirmed dead and another 1,186 are missing since Typhoon Haiyan, one of the world's most powerful typhoons, struck the Philippines.
Day, ranked 20th in the world, is scheduled to represent Australia with world number two Adam Scott at this week's World Cup of golf at Royal Melbourne.
An Australian newspaper reports that Day's grandmother, an uncle and six cousins were killed in the typhoon.
"My daughter has been updating him (Jason) but I don't want to bother him because he has commitments," Denning, who lives in Australia, told the Gold Coast Bulletin.
"There will be plenty of time to talk after (the World Cup). He's representing his country so I don't want him worrying about anything apart from golf."
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