Williams sank to her knees after firing a backhand winner on her second match point. She became the eighth woman to win 11 or more titles a year and the first since Martina Hingis had 12 in 1997.
This was Williams' fourth WTA Championship. She also won the elite tournament, which features the eight top-ranked players, in 2001, 2009 and 2012. She is the first to successfully defend the WTA title since Justine Henin in 2007.
Williams has won 78 of 82 matches this year. She will finish the year as the top-ranked player for the third time, the others in 2002 and 2009. Li, playing in her first WTA Championship final, will finish the year at a career-high No. 3.
The final featured two players over 30 for the first time in the championships' 43-year history. Williams is 32 and Li is 31, but both are playing some of their best tennis.
Li got off to a better start against a sluggish Williams, who struggled a day earlier to beat Jelena Jankovic and complained later of exhaustion after a long season.
The Chinese, passing Williams almost at will, was quick to break serve for a 2-1 lead and rolled through the first set, which ended with Williams netting a forehand and hitting a backhand passing shot wide.
Williams won a key game at the start of the second set that went to nine deuces and lasted nearly 12 minutes. The American fended off two break points before finally prevailing with a service winner.
Li ripped an ace, her only one of the match, to make it 3-3. But she produced a double-fault and a forehand error to give Williams a chance to serve out the set. Williams needed three set points to close it out.
It was another double-fault by Li that gave Williams a break of serve at the start of the third, and Williams was on her way.