Riesz transforms of a general Ornstein--Uhlenbeck semigroup

We consider Riesz transforms of any order associated to an Ornstein–Uhlenbeck operator $\mathcal{L}$, with covariance $Q$ given by a real, symmetric and positive definite matrix, and with drift $B$ given by a real matrix whose eigenvalues have negative real parts. In this general Gaussian context, we prove that a Riesz transform is of weak type $(1,1)$ with respect to the invariant measure if and only if its order is at most $2$.