"I never could have imagined a day where my little sister, Chyna, wouldn't be here," the fiery point guard said in a statement posted on the NBA team's website. "This has been without question the hardest week of my life.
"At the same time, I have been overwhelmed by the love and support I have received and couldn't be more thankful for my friends, family, fans, the city of Boston, Celtics organization and the NBA community."
Chyna Thomas, 22, died on Saturday in Washington state when her car drifted into a highway barrier and then struck a post head-on.
The crash came a day before the 28-year-old Thomas and the Celtics launched their NBA first-round playoff series against the Chicago Bulls.
Thomas soldiered through, scoring a game-high 33 points in the Celtics' game-one defeat and 20 points on Tuesday night in another home loss to the Bulls.
He hadn't spoken publicly since his sister's death until his statement.
Thomas flew home to Tacoma, Washington, on Wednesday to be with family, Celtics coach Brad Stevens said.
He plans to travel to Chicago for game three of the series against the Bulls on Friday. The rest of the team heads to Chicago on Thursday.