Day's mother, Dening, told the Gold Coast Bulletin on Monday that the player's uncle and six cousins also died in the typhoon, which has killed nearly 4,000 people and left more than a thousand missing.
"I am deeply saddened to confirm that multiple members of my family lost their lives as the victims of Typhoon Haiyan," Day said in a statement released by the PGA Tour. "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. While I understand the media's interest in this matter and hope that any coverage can spread awareness to assist with the relief efforts that continue in the Philippines, I hope that all will respect my family's privacy during this difficult time. I will have no further public comments at this time. Please pray for all who have suffered loss. Thank you."
Day is teaming with Adam Scott to represent Australia in the World Cup of Golf, starting Thursday at Royal Melbourne.
Day's mother, who migrated from the Philippines to Australia 30 years ago, told the newspaper "my daughter has been updating him, but I don't want to bother him because he has commitments."
She said many of her family members lived in the area around Tacloban, the capital of hardest-hit Leyte province.