The 21-year-old announced his withdrawal Monday via Instagram. He said he did "everything in his power" since the pandemic started to avoid COVID-19.
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"I've taken all the precautions I can," said Zhou, during the five-minute video that appeared to be taken in his hotel room. "I've isolated myself so much that the loneliness I've felt the last month or two has been crushing at times."
Zhou tested positive during a routine screening, the U.S. Figure Skating Association said in a statement Monday, the same day the U.S. team took silver in the team competition.
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Zhou's departure leaves the U.S. with just two competitors in the individual competition -- Jason Brown and Nathen Che -- which starts Tuesday (Monday night in the U.S.).
Because Zhou already skated in the team competition, rules say he can't be replaced.
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Zhou was emotional at times during his Instagram post.
"I've already lost count of the number of times I've cried today," said Zhou, whose parents are originally from China and became Silicon Valley computer scientists (Zhou's grandparents live in Beijing). "But I'm happy to say that at least one of those times was happy tears. That was when I found out that I became an Olympic silver medalist."
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Growing up in the Bay Area, one of Zhou's coaches was 1980 Olympics silver medalist Charlie Tickner, from Lafayette. Zhou is a three-time U.S. national silver medalist and finished sixth in the 2018 winter Olympics, where he became the first skater to successfully land a quadruple Lutz jump.
Zhou said he expects to compete in next month's world championships in France.