The Sunday Mirror stated the Tottenham right-back had inhaled nitrous oxide when out with friends over the summer, alongside photographs of Walker breathing out of a black balloon.
The 23-year-old, who played for England against Moldova on Friday and is in the squad to face Ukraine on Tuesday, wrote on his official Twitter page: "Apologies for not commenting sooner on a story about me today. I've been training and am focused on Tuesday's game for England.
"Now I know the health risks, it was poor judgement on my part.
"I won't be doing this again and hope that no one else is influenced into putting their health at risk by my actions."
Walker has assured England coach Roy Hodgson he intends to stay clear of nitrous oxide in the future.
Although not illegal, there are health risks associated with the substance, which it appears Walker was not aware of at the time.
These have now been pointed out to the 23-year-old, who has assured Hodgson it will not happen again.
"Kyle Walker has expressed his regret for an error of judgement when inhaling Nitrous Oxide earlier this year," said an FA statement.
"The FA and England manager have spoken to Kyle about the matter and he has assured us it will not happen again.
"Inhaling Nitrous Oxide is not illegal, but we recognise the associated dangers.
"Kyle has accepted this mistake. He will not face any action under the England Player Code of Conduct."
Although the FA are keen to draw a line under the matter, it is likely Hodgson will be asked about it later today in his pre-match press conference ahead of England's World Cup qualifier in Kiev.
In particular, it will be interesting to see how Hodgson explains the decision not to discipline Walker under the code of conduct given the brainchild of former FA chairman David Bernstein was to improve overall player behaviour.
Walker was named as the PFA's Young Player of the Year in 2012 and has won seven caps for England since making his debut against Spain in 2011.
He won his seventh cap in Friday's 4-0 win over Moldova and with Glen Johnson and Phil Jones both ruled out through injury, seems certain to start tomorrow's game when England need to avoid defeat to keep control of their World Cup fate.
"It's important to bear in mind that Kyle is a young lad," PFA deputy chief executive Bobby Barnes told Victoria Derbyshire on BBC Radio Five Live.
"Growing up in the public eye, not only will you see successes but you'll also see the mistakes that he's made.
"He is obviously very contrite about this.
"He's made a full apology and more importantly he's made it clear that he's aware of the dangers and he'll transmit that to other youngsters out there.
"The important thing to remember is that he hasn't committed a crime and it's not on the banned list.
"Having said that, it's something that's certainly not desirable for a footballer or a youngster to be doing."
Hodgson spoke about Walker when giving his pre-match media conference on Monday afternoon and said he was satisfied the player had dealt with the issue.
"I am happy, he has made his apologies and admitted a mistake. It was a long time ago, he'd forgotten it. It would have been much worse had it happened this weekend," Hodgson said.