The American, however, believes staging soccer's blue-riband tournament in the conservative Gulf Arab state can open minds and become a power for good.
Qatar's treatment of migrant workers and restrictive social laws which prohibit same-sex relationships has led many to question world governing body FIFA's decision.
But King, who in 2009 was awarded the Presidential Medal of Freedom for her advocacy work on behalf of women and the LGBTQ+ community, points the fact that the WTA Tour she helped create used to stage its end-of-season tournament in Doha.
Asked if she would be happy to host the Billie Jean Cup finals, which begins this month in Glasgow, in Qatar, she said: "I probably would be because, first of all, the WTA went there years ago.
"I get a lot of different people coming to me saying 'why would you play there the way they treat women?'
"But personally I think it's important to show up and be an influencer. I think it's delicate, no question. But I think it's important to go if you get the opportunity and everything else fits too, not just go there for money or whatever."
Qatar’s government has said its labour system is a work in progress, but denied a 2021 Amnesty report that thousands of migrant workers were still being exploited. Organisers of the World Cup, which starts on November 20th, say that everyone, no matter their sexual orientation or background, is welcome.
King, who won 12 major Grand Slam singles titles and paved the way for equal prize money at four majors, said staging the WTA Finals in Doha had created opportunities for female tennis players in the country.
"We were there four or five years and I think it helped," King said in a conference call with a small group of reporters ahead of the Billie Jean Cup finals which start on November 8th.
"When I went there I did a clinic for the kids but only for the girls. Somebody was left-handed, which is sinister to them, and this mother was saying she hoped her left-handed daughter could one day become a champion and get rid of that stigma.
"These are the kind of discussions you can have when you're physically there. So I'm big on going actually, even if I know it's a fine line of how you do it."
Last week Qatari police stopped a one-man protest by British LGBT activist Peter Tatchell outside the national museum of Qatar. Tatchell stood for more than an hour wearing a T-shirt emblazoned with "#Qatarantigay" and holding a placard that read "Qatar arrests and subjects LGBTs to conversion".
