Earlier, she had sought approval from Gen Prayuth Chan-ocha, chief of the National Council for Peace and Order, to take a trip to some countries in Europe.
Like those detained by the NCPO after the May 22 coup, she is required to seek prior approval from the NCPO before going abroad.
It was speculated the former prime minister would attend the birthday party of her brother, former premier Thaksin Shinawatra, Matichon Online reported. Khunying Potjaman na Pombejra, Thaksin's ex-wife, will also join the party, according to the source.
Commentators have been weighing in on whether or not Ms Yingluck will return to fight her court case or resort to exile like her brother.
Speaking to reporters at the airport late on Wednesday, Ms Yingluck asked for privacy.
"I am tired. Please let's talk when I return in August," she said. Ms Yingluck will return to Thailand on Aug 10, her close aide said.