The now 37-year-old Li has devoted most of her time to her family and her business career since chronic knee injuries forced Asia's first grand slam singles tennis champion into retirement five years ago.
Li and her former coach and husband Jiang Shan, whom she often refers to as 'Dennis,' are the parents of a three-year-old daughter, Alisa, and a two-year-old son, Sapajou.
"Last year, I played legends doubles at Wimbledon, and it was the first time they know, 'Oh, my mum is a tennis player'," Li told CNN Sport in an exclusive interview in Beijing.
"Before, they didn't know that," said Li. "Before, she went to kindergarten, and the teacher asked 'what does your mum do?' And she said 'My mum, no job.' So she came back home, and said 'Mum, why don't you have a job?' And I said 'My job is to take care of you.'"
With her busy family life and $20 million-a-year business empire, which includes her own clothing line with long-time endorser Nike, plans to start her own tennis academy, television appearances and a new movie based on her life, there isn't much time left for tennis.
"Now, I am focused on my family, I would like to say, 70% family, 30% in business," said Li, who won't be coming to Wimbledon this year because it clashes with her youngest child starting kindergarten.
Li had spent the morning at the Beijing National Tennis Centre working with some of China's top junior players as they prepared for the Road to Wimbledon
China, the All England Lawn Tennis Club's junior tournament for players 14 & under aimed at promoting grass-court tennis in the world's second-biggest economy.
Li's historic win at the 2011 French Open, followed by a second major title at the 2014 Australian Open, not only turned her into an international superstar, it also triggered a tennis revolution in China, which has poured hundreds of millions of dollars into promoting the sport both on a grass-roots and high-performance level.
After one drill, Li spoke to the budding tennis stars about her own career, and the first time she set foot on grass, an uncommon surface in China.
Gao Zihao, a 13-year-old junior from nearby Tianjing, said it was "amazing" to meet his famous countrywoman, adding the former world No. 2 looked "so professional."
Although Li was told by her coach at the age of eight to switch from badminton to tennis, she won't be pushing her two young children into playing the sport that turned her into an icon in China.
"I don't put a lot of pressure for them," said Li, who became the first Asian player to be inducted into the International Tennis Hall of Fame this year. "But of course, I would like for them to do sports, it doesn't matter which sport. So my plan is, when they are four years old, start them with a little bit of sport."
Still, Li has no regrets she picked up a tennis racket.
"Tennis has changed my life," she said.
Li Na, the Movie
Li's own desire for independence is a key theme in the highly-anticipated movie 'Li Na.' Directed by award-winning Hong Kong filmmaker Peter Chan, it has taken four years to be made and is due to be released either at the end of this year or the beginning of 2020.
"The director was not very happy about the script of the movie and it wasn't as good as he expected," said Li, who acted as a consultant on the movie. "So during the four years, I kept talking to the director about the script, and after each talk, the director went back to make some changes to the script."
Li is played by an unknown actress, who put on 15 kilos in muscle for the role. The movie also stars Slovak tennis star Dominika Cibulkova, who lost to Li in the 2014 Australian Open finals.
"Everything about Li is fascinating, from the way that she shows her emotions, her temper, the way she called the shots with the press and her husband," Chan told Variety
"But Li also endured a lot of difficult stages in her life, notably bad debt and having to learn to manage her own team. This is really a story of achieving independence on her own terms and I related to it very personally."
The movie is based on Li's 2013 autobiography, 'My Life,' which chronicles her clashes with the relentless Chinese state-sponsored sports system, the death of her father at the age of 14, when she was away playing a tournament and wasn't told about it until she came back home, overcoming three knee surgeries and her eventual Grand Slam triumphs.
"The message of the movie is to try to tell everyone that we are all ordinary people, and that everyone of us has our own dreams," said Li. "You try your best to live your dream, if not, you are still better than your old self.
"It would be great if girls and young women would be inspired after watching the movie."