The pair had already played in Chile and Argentina and were scheduled to go to Colombia before finishing the series in Ecuador and Mexico.
The aim was to give more top level tennis to a region under served by major tennis tournaments.
But the Colombian match has been abandoned by officials with rioting across the capital of Bogota in recent days.
"I'm very happy to be back in Bogota. I wanted to come back and play for many years," Federer said.
"I was ready to go and so was Sascha (Zverev), we are so sorry that this cannot happen but sometimes these things tend to happen.
"We have to be safe, we have to be careful and that's why this is a decision for the people.
"I hope to be one day coming back and playing in front of you."
He also took to Twitter to say he was "heartbroken" to have to skip the match in Colombia.
It comes after a surprise message in Argentina had Federer in tears as football great Diego Maradona declared the superstar the GOAT.
"You were, you are, and will always be the greatest. There is no other like you," Maradona said in a video.
"I want you to know that if you have any kind of trouble in my country, you can call me and tell me what you need."
But when Federer was asked about his place among the greats of the game by TyC.
The interviewer shared quotes from Bjorn Borg said "for me Roger is the best to ever play tennis', Pete Sampras called him "the most beautiful player ever" and even Rafael Nadal said "if he's playing very good, I have to play unbelievable, if not it's impossible".
Federer said it's crazy to think he is at that level.
"There are some very nice quotes and I'm happy I played against some of them," Federer said. "I admire those players so much. I'm humbled to be considered part of the best ever that some even consider me the best.
"I come from a very normal background in Switzerland, I went to school, when to kindergarten normally, took my bike, became a ball boy and next thing you know I got on the tour, I was a talented player in my home town of Basil, to becoming a talented Swiss player to becoming a talented junior player worldwide to becoming a top 100 player and one of the more talented guys around. People were not really predicting I was going to win 20 slams and spend 300 weeks at world No. 1.
"It all came as a surprise to me so for me to be in this level of the best ever conversation is a great feeling. And the respect that I have for them and they have for me is what means a lot to me."
But when asked about his friend and famed rival Nadal, Federer admitted the Spaniard, who has 19 Grand Slam titles, could end up as the greatest of all-time.
"Good guy, great player, my God — who would have thought that he was going to be world No. 1 again this year after being world No. 1 for the first time 11 years ago," Federer said. "All the people were saying that he was going to be injured, that he was going to not make it, that he was not going to be healthy at one point, his game is too brutal, but he found a way and he has had another incredible season with two Grand Slam wins this year.
"I have really enjoyed the court as well with him at the Laver Cup twice, once in Prague, now in Switzerland in Geneva. I learned a lot from him, he is a great champion, he is great for the game and I am happy that we had the matches and the battles that we had particularly at Wimbledon, French Open, even in Australia, we have had some massive matches.
"He is going to go down as maybe the greatest player of all time, he's that good of course."
While Federer's Grand Slam record is as yet unmatched in the men's game, the Swiss superstar said he came out of one of the great eras.
As for retirement, he said: "I'm happy I'm still on the tour, I don't know how I did it, but at one point it will be over and I'll be happily retired."
