Guay later tweeted: "Did everything we could but my knee is not in a place where I can push it. #Kitzbuehel is a no go"
The Mont Tremblant, Que., native had knee surgery in the summer but underwent a successful rehab that had him back on his skis on Nov. 1 and competing later that month at Lake Louise.
The 32-year-old won the Val Gardena, Italy downhill on Dec. 21 and eight days later earned bronze in Bormio. Those two results put him at 21 career World Cup podiums, breaking Steve Podborski's record for the most by a Canadian man.
While Guay is conserving his knee for the Sochi Olympics, it is not welcome news for Alpine Canada, whose best hopes in the Olympic speed races rely on three veterans, two who are banged up.
Jan Hudec is dealing with a back injury, although he did travel to Austria.
Bode Miller led a training session for the classic Hahnenkamm mountain Thursday, leaving his World Cup rivals in awe just 17 days before the Sochi downhill.
Miller was well ahead of the field from the first split time and finished in two minutes, 2.93 seconds on the challenging Streif course.
Overall World Cup leader Aksel Lund Svindal came 0.96 back in second, while third-place Hannes Reichelt of Austria finished a massive 2.35 seconds behind the American.
Last year's winner Dominik Paris of Italy trailed Miller by 3.21 seconds in 10th.
Conrad Pridy of Whistler, B.C., was top Canadian in 24th place, one ahead of North Vancouver's Manuel Osborne-Paradis. Ben Thomsen of Invermere, B.C., was 39th, with Morgan Pridy in 48th.
It was the only training run before Saturday's race after mild temperatures softened the snow and made runs earlier this week impossible.
The race is the penultimate downhill before the Olympic race on Feb. 9.