I was in US with a J-1 visa, tried to change status to turist visa, but denied, they sent a letter saying I was late to change the status and I am here ilegal, if I don`t agree with the decision can send the letter back with more prrof or just leave the country, if I leave can I get problems to come back later?

Just leave the country. You can apply for a new visa in the future but if you choose to stay, you will accumulate number of days and it will result in being barred for 3-10 years.

If u leave the country , u might have trouble coming back to US. Better is live in the US and get a lawyer.