"I am going back. I was on oxygen whole night. Doctors suggested hospitalisation but I don't want to go to hospital," Banerjee told reporters.
"I will come again. Delhi is not safe," she said.
Banerjee said she had cancelled her meeting with Finance Minister P Chidambaram and had apologised to Prime Minister Manmohan Singh as she could not meet him Tuesday.
"I apologised to the prime minister," said Banerjee.
Banerjee and her Finance Minister Amit Mitra were heckled by SFI activists Tuesday as she was going to the Planning Commission for a meeting.