"Should I start with hello, goodbye, or condolences?" she wrote on Instagram, as Iran reeled from Wednesday's accidental shooting down of a Ukrainian airliner that killed all 176 people onboard.
Alizadeh, who won a bronze medal in taekwondo at the 2016 Rio Olympics, cited oppression by authorities in the Islamic republic.
Criticising Iran's political system for "hypocrisy", "lying", "injustice" and "flattery", she said she wanted nothing more than "taekwondo, security and a happy and healthy life".
"I am one of the millions of oppressed women in Iran with whom they have been playing for years," the 21-year-old wrote.
"I wore whatever they told me to wear," she said, referring to the Islamic veil, which is compulsory for all women in public in Iran.
"I repeated everything they told me to say," she wrote.
She continued: "None of us matter to them."
"No one invited me to Europe," she wrote, without saying where she was.
On Thursday, news of Alizadeh's disappearance shocked the country.
Iranian parliamentarian Abdolkarim Hosseinzadeh had demanded answers, accusing "incompetent officials" of allowing Iran's "human capital to flee" the country.
The semi-official ISNA news agency carried a report on Thursday saying: "Shock for Iran's taekwondo. Kimia Alizadeh has emigrated to The Netherlands."
ISNA wrote that it believed that Alizadeh, who is reportedly training in The Netherlands, is hoping to compete at the 2020 Tokyo Olympics but not under the Iranian flag.
Without saying anything of her plans, Alizadeh assured the "dear Iranian people" that she would remain "a child of Iran wherever" she is.