Officer Jose Hernandez called the case closed.
Canseco, 48, who went public about the investigation May 22 with postings on Twitter, told The Associated Press that he was victimized by the allegation and he wants to sue his accuser.
"She alleged I drugged her and raped her," Canseco said in a telephone interview. "It was an outright lie. I proved it by taking two lie detector tests. I am the victim here."
Canseco drew intense criticism for posting the woman's name and workplace. Some of the information was later removed, but Canseco told AP at the time that he didn't regret posting it.
"If you have nothing to hide, why hide it?" he said.
Canseco said Friday that he took and passed polygraph tests in Dallas and Las Vegas to show he was telling the truth.
The former Oakland Athletics outfielder hit 462 career home runs and was a six-time All-Star during stints with seven major league teams from 1985 to 2001. He also played for Texas, Boston, Toronto, Tampa Bay, the New York Yankees and Chicago White Sox.
He admitted in a 2005 tell-all book, "Juiced: Wild Times, Rampant 'Roids, Smash Hits, and How Baseball Got Big," that he used performance-enhancing steroids.
Canseco went through Chapter 7 bankruptcy liquidation last year in Las Vegas. He listed a post office box as his address at the time, and reported less than US$21,000 in assets and almost $1.7 million in liabilities, including more than $500,000 owed to the Internal Revenue Service.
In recent years, Canseco has played for various teams in California, Arizona, Mexico and Canada.
The day of his Twitter posts last month, he flew to Texas to play several games with the Fort Worth Cats, an unaffiliated baseball team in the independent United League.
AP sports writer Schuyler Dixon in Dallas contributed to this report.