Officer Jose Hernandez said Friday that detectives closed the sexual assault case with a decision not to seek criminal charges.
The 48-year-old Canseco was never arrested in the case.
He went public about the investigation May 22 with postings on the social media network Twitter.
He tells The Associated Press that he took two polygraph tests to prove he was telling the truth.
Canseco says he was falsely accused and is considering filing a civil lawsuit seeking damages against his accuser.
The former Oakland Athletics star hit 462 career home runs during a career that included stints with seven major league teams from 1985 to 2001.