Real looked into the incident after Di Maria was seen to grab his crotch as he was leaving the pitch to apparent jeers from supporters at the Bernabeu after being substituted in the second half.
The player refuted suggestions it was intentional although he apologised to anyone who had taken offence.
On Thursday Real released a statement which read: "The Real Madrid CF announced that the opening of the investigation (into) player Angel di Maria has been closed without penalty.
"According to the investigator, it can not be concluded that Di Maria was responsible for conducting offensive gestures and contempt for the public of Santiago Bernabeu last January 6 and therefore that he committed any foul worthy of disciplinary action.
"Consequently, the Steering Committee has ordered that the club investigation be shut."