Images published in the Sunday Mirror newspaper appeared to show the Tottenham right back sucking in nitrous oxide through a balloon in a nightclub. The substance isn't illegal but can cause long-term health damage.
Walker apologized on Twitter on Sunday, saying: "Now I know the health risks, it was poor judgement on my part."
The Football Association said Monday that it had spoken to Walker about the matter and that "he has assured us it will not happen again."
"Inhaling nitrous oxide is not illegal, but we recognize the associated dangers," the FA said in a statement. "Kyle has accepted this mistake. He will not face any action under the England Player Code of Conduct."
Walker, who has played seven times for England, is currently preparing for a World Cup qualifier against Ukraine in Kyiv.