[7][8] However, when Alexander went to the court at Cetinje to claim his soon-to-be wife, Xenia professed such "disgust and horror" at his appearance and manners that despite her father's entreaties, she refused to marry him, humiliating and angering him so much that diplomatic relations between Serbia and Montenegro were severed.

[11][10] In 1902, rumours spread of Xenia's engagement to Ernest Louis, Grand Duke of Hesse, who had recently divorced Princess Victoria Melita of Saxe-Coburg and Gotha.

[13] Another rumour coincidentally spread that Xenia would marry Grand Duke Cyril Vladimirovich of Russia, barring that his entreaties of marriage to Princess Victoria Melita were denied because of her divorced status.

[10][16] Doubtless the promised dowry of one million rubles, her family's reputation for "robust health," as well as contemporary reports extolling her "beauteous" appearance[12] helped contribute to these royal admirers and the newspapers circulating ever more rumours about the princess.

[18] The Austrian government took her actions as an insult and called for the strongest kind of diplomatic protest; as Nicholas was indebted to Austria for many past favors, especially concerning financial assistance, he was unsure what punishment should be given out to his daughter, and eventually decided on temporarily exiling her to France.

[18] Xenia readily agreed to her father's demands, and enjoyed herself in Paris, where she spent her time shopping, going to the theater and the opera, and being entertained by leaders in Parisian society.

[19] In cooperation with activist Alexander Devine, Princess Xenia and her sister Vera helped organize the relief of interned Montenegrin prisoners in Austria.

Photographs of Princess Ksenija are images which were deeply impressed upon her memory, and that she cherished with love throughout the decades of exile, reaching out for them in the moments of despair and nostalgia.

[21] Princess Xenia is one of the principal subjects of the essay collection No Man's Lands: eight extraordinary women in Balkan history, by the British-Kosovan writers Elizabeth Gowing and Robert Wilton.