The goalie was replaced on the Pacific Division team by Jacob Markstrom of the Vancouver Canucks.
The 35-year-old is 17-8-3 with a 2.76 goals-against average and a .912 save percentage.
Fleury's father, Andre Fleury, died Nov. 27 at the age of 63. He was away from the Golden Knights for five games and was the backup for the first two after he came back. His first game played was Dec. 11, a 5-1 win against the Chicago Blackhawks.
"Altogether, talking with (team president) George (McPhee) and (general manager) Kelly (McCrimmon) and family, I thought it was the best route to go for myself and the team," Fleury said Saturday after the Golden Knights' 5-4 win against the St. Louis Blues.
"Spend a little time with the family too. Don't get me wrong, I like going, I think it's a lot of fun. I love to hang out with the players there. It's a huge honor to be a part of it. I'm sorry to the fans I disappointed for not going. I thought about it. Mentally, physically it was just the right thing."