Di María appeared to grab his genitals after being whistled by the crowd at the Bernabeu as he was replaced by Gareth Bale with 25 minutes remaining in Monday's tie.
But Real Madrid said in a statement on Thursday that an investigation by the club failed to establish any "fault" by the player and he would not be punished.
Coach Carlo Ancelotti added that the affair was now "closed" following an apology made by the player.
The Argentine had denied there was any malice intended in the gesture. "I made a normal gesture as I was leaving the field," he told the club's website.
"I didn't mean it to be aimed at the fans nor the coach as people are saying. It was a normal gesture that any man would do, especially when you are running."
Real Madrid added: "In light of the investigation, it cannot be concluded that Di Maria is responsible for carrying out offensive and contemptuous gestures towards the public at the Santiago Bernabeu on January 6th and, therefore, he has committed any fault deserving disciplinary action."
Di María is expected to start on the bench Thursday night at the Santiago Bernabeu for the Copa del Rey last 16 tie against Osasuna.
Di Maria has seen his first team opportunities limited since the arrival of Bale from Tottenham Hotspur in September.
The 25-year-old has been linked with a move away from Madrid in the January transfer window with free-spending Ligue 1 side Monaco reportedly interested.