The 31-year-old multiple world champion admitted her guilty secret when she took to the water -- make that air -- for a sail with America's Cup defender Oracle Team USA in New York.
Vonn joined skipper Jimmy Spithill and his crew -- "They're all really strong and really good looking" -- on a mission to "grind."
That's the term used for winding the hydraulic winches which help pull in the sails. And it was Vonn's job for the day, despite only ever having sailed a dinghy before.
She just didn't want to go over the side.
"I would prefer not to fall in the water and be cold because, to be honest, I really don't like the cold. Ironically," she told CNN.
When Spithill heard the former Olympic downhill champion didn't want to get wet, he grinned: "Ah, well she's in for one hell of a surprise."
The Australian added: "I just hope I can keep the crew focused, I've got a feeling they're going to be distracted."
Vonn posed naked for Sports Illustrated's swimsuit edition in February, and said she would be working on her "beach bod" after her ski racing season was cut short with a knee injury.
As it turned out, everyone focused enough to deliver the boat back to shore safely after giving Vonn a taste of modern America's Cup action and what it's like to fly both hulls high out of the water on hydrofoils.
"I didn't expect to be so far off the water," she said. "It was amazing, so cool. It kind of makes a whistling noise. When you look down it looks like you're flying.
"It didn't really feel mechanical, it just felt really natural and free."
As an individual athlete, Vonn was impressed with the team work needed to sail such a high-performance catamaran which can reach speeds of more than 40mph.
"The whole team is just incredible," she said. "It's nice to see people working together like that, and really being in synch with each other and knowing the boat and knowing the speed and being able to read the water and read the waves. It's just an incredible skill and I feel really lucky I was able to experience that."
'Mission to grind'
Vonn was able to draw some parallels between hurtling down the side of a mountain on skis and keeping a boat upright and going fast around a racecourse.
"Sometimes in ski racing people don't understand that you're reading the terrain, you're reading the speed, the snow -- there's so many things that come into play," she said.
"Sailing, it seems pretty straightforward, but everyone is doing a different job and reading what's going on around them so in that way it is very similar."
So just how good a grinder was she?
"It was just as physical as I thought it would be," she added.
"My legs are really strong, my arms are not nearly as strong as the guys so it was a challenge to keep up with them but it was really fun."