"I don't want to talk about it. I'd rather not comment," he said yesterday.
To add to his heartache, the Welshman was knocked out in the early rounds of the Irish Open in Dublin at the weekend, missing out on the 660,000 euro first prize.
A spokesperson for Paddy Power, which sponsors the tournament, said: "Dave is not in the list of chip leaders so he must have been knocked out."
Colclough, whose poker buddies include Spider-Man actor Tobey Maguire, has one daughter, Sian, by his ex-wife Anna and married Rhowena, a former William Hill TV presenter, in 2005.
A friend of the couple said: "Dave posted this message on his blog, which is well read in the poker community, but it was removed almost as soon as it went up.
"There has been loads of gossip about what went wrong between the pair of them but no-one knows the details.
"There is a massive age gap between Dave and Rhowena but he's a charismatic guy and has won millions of pounds at the table. I'm sure he won't be single for long."
In 2000, Dave set up the Midland School of Poker with fellow semi-professional players Derek Baxter and Geoff Hall.
