The Australian Open announced the fine Wednesday after a meeting by the committee of Grand Slam supervisors.
On Tuesday, No. 8-seeded Williams trudged off Rod Laver Arena after a surprising 6-4, 6-3 loss to Johanna Konta, a British player making her debut in the Grand Slam's main draw.
The $5,000 fine is the highest a female player has faced for skipping a mandatory news conference and the second highest fine since Marat Safin was fined $10,000 at the 2001 French Open.
Serena Williams said after her match Wednesday that she did not know why her sister was a no-show at her press conference.
"If you want to, you can ask her," Serena said. "Yeah, I don't know. I wasn't here. In fact, I was watching Telenovela.''
Asked whether Venus will play in Melbourne next year, Serena said, "From what I assume, yeah, but I don't really know. I would assume. She's never mentioned anything about not being here, not competing.''
Information from ESPN's Jim Caple was used in this report.