The party has confirmed the South Belfast MLA does not intend to stand for re-election in 2016.
Earlier Ms Lo, who has lived in Northern Ireland for 40 years and stood as the Alliance candidate in the recent European elections, said she was thinking about leaving the region as she doesn't feel safe amid a recent upsurge of hate attacks - including attacks on her personally.
She voiced her anger about First Minister Peter Robinson's backing of a controversial Belfast pastor whose comments about Islam are being investigated by police, and called for him to apologise.
Speaking to UTV, a tearful Ms Lo said: "What sort of place are we living in?
"I feel vulnerable walking in the street because I know ethnic minorities here are attacked and I feel that when I'm walking I might be attacked. I've received lots of threats in the past two years.
"I have had racist abuse for some time, I can't say I am used to it, but it's not what makes me want to step down. I am just fed up with tribal politics, that's all."
Anna Lo was born in Hong Kong and came to live in NI in 1974.
She was first elected to the Assembly in 2007, becoming the first ethnic Chinese person to be elected to a legislative parliament in Europe.
The politician said she does not want to leave Northern Ireland but has discussed it with family.
She continued: "I live here, I have put down my roots here, but my two sons are in England and when they heard about the abuse and the threats they have talked to me about whether I want to leave, but I said no - I love it here, I have a career here and plenty of friends.
"I want to stay but who is to know?"
Pastor James McConnell sparked controversy when he likened "cells" of Muslims in Britain to the IRA and described Islam as a "heathen" doctrine which had been "spawned in hell".
He made the remarks during a sermon at Whitewell Metropolitan Tabernacle in Belfast on 18 May and police are investigating a "hate crime motive" in relation to the incident.
Pastor McConnell told UTV that he stands by his comments and has rebuffed calls for an apology.
Peter Robinson on Wednesday appeared to defend the pastor's remarks and added that he would not trust Muslims on spiritual matters but would trust them "to go to the shops" for him.
The DUP leader issued a statement on Thursday saying he had been misinterpreted, explaining that he never intended to offend anyone and offering to meet members of the Muslim community.
Ms Lo continued: "I'm very angry about it and I think he should apologise and retract his words.
"That is not the words of a First Minister of a country, you cannot say such condescending things about a whole community, that they are only fit to shop for him - that is ridiculous.
"I'm angry because in the last few months I have seen such a dramatic increase in racist attacks against ethnic minority communities. It is two or three incidents a day."
When Peter Robinson was asked about Ms Lo, he said he wanted to "keep party politics out of it", but added that he was happy to meet with Ms Lo at any time, that he had a good relationship with her and said she had his support.
"People should take a look at exactly what was said by me, and judge me on what I said and not an interpretation of it by some other politician," he said.
He stood by what he originally said and refused to apologise for any "inaccurate interpretation".
Mr Robinson added: "I certainly want to make it very clear, no one in my name will be cold-shouldering, verbally abusing, or worse - physically abusing anyone from any of the minority communities in Northern Ireland."
Sinn Féin deputy First Minister Martin McGuinness said he has spoken to Anna Lo to say that she and the Muslim community are "much-valued members of our society".
He went on: "Anna Lo's remarks earlier today are an indication of the deep effect on our ethnic minority communities, on an individual and collective level, of the recent comments in support of Pastor James McConnell by some unionists.
"The Executive and political leaders need to stand shoulder to shoulder with all those who have been victims of racist intimidation and attacks."