Zozulya was forced to release a statement on Wednesday in which he insisted he was "not linked to or a supporter of any paramilitary or Neo-Nazi group."
However, the 27-year-old did admit to "collaborating with the Ukranian army to help protect his country."
Zozulya's was confronted by supporters on his first day at Madrid-based, second division club, Rayo with banners at the club's training session reading: "Vallekas is not the place for Nazis."
Betis sporting director Miguel Torrecilla confirmed on Wednesday that Zozulya will return to the club for his own safety, but that given his registration has been ceded to Rayo for the rest of the season he won't be able to play for either Betis or Rayo.
"We have agreed to protect the person and our player," Torrecilla told the club's website.
Zozulya has only made six appearances for Betis since joining on a free transfer from Dnipro Dnipropetrovsk at the start of the season.