Madrid are looking into the incident after Di Maria was seen to grab his private parts as he was leaving the pitch to apparent jeers from supporters at the Bernabeu after being substituted in the second half.
The Argentina international was replaced in the 64th minute by Gareth Bale with the game still goalless. Madrid on to win the game 3-0 with goals from Karim Benzema and Cristiano Ronaldo (two).
The incident involving Di Maria has caused a stir in the Spanish media but the 25-year-old said he never meant to offend anyone.
He said in an interview with Realmadrid TV : "I made a normal gesture when I was going off. I did not want to do anything aimed at the fans or the manger either like people were saying.
"It was a natural movement which all men make especially when you are running. You do it a lot on the pitch.
"The truth is that if anyone was offended by it I apologise, but it is like I have said. I made a natural movement which was not aimed at anyone in particular. On the TV you can see that it is a fraction of a second. It is nothing."
On the fact Madrid have opened up an investigation into the incident, Di Maria said: "I think it is the right thing to do. Not just for them, who have started the investigation, but also for me as it means I can explain the situation and what happened, as I have also already explained to several Argentine radio stations.
"I think it is good as I can talk to them directly and explain what happened on the pitch".