Manchester United had been in talks with Madrid over a deal before the Ligue 1 club stole a march in the race to sign the 26-year-old.
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"Regarding Di Maria, it is true that we have held talk with Real Madrid president Florentino Perez," Al-Khelaifi said.
"But he is too expensive for us. We have stopped negotiations."
Red Devils boss Louis van Gaal has told the club to wait for Roma midfielder Kevin Strootman to recover from a serious knee injury after being frustrated in their attempts to secure top midfield talent.
With PSG out of the race for Di Maria, who was converted to a midfield role last season, Van Gaal could be tempted to renew his interest.
However, a report in Spanish newspaper Mundo Deportivo on Thursday morning claimed that Monaco were ready to pounce following PSG's delay in sealing the transfer, meaning they could also rival any interest from United.
Goal revealed on Wednesday that United CEO Ed Woodward had held talks with Nigel de Jong's representatives over an £8m move from AC Milan as the Red Devils continue to explore their options.
As well as signing David Luiz from Chelsea, PSG have also signed Serge Aurier on loan until the end of the season.
The Parisians were hit with a £50m fine for breaching Financial Fair Play (FFP) regulations, and their Champions League squad will also be reduced to 21 players for 2014-15.
Of PSG's fine, £30m will be returned to the club if they comply with the measures set by the Club Financial Control Body (CFCB), but the sanction has had a significant impact on their spending so far this summer.
Head coach Laurent Blanc has said on more than one occasion that they are unable to buy the players they want following the FFP penalty and they have now been forced to pull out of the race to sign Di Maria as well.
The 26-year-old has a contract with Real Madrid until June 2018 and an offer in excess of £47.5m could be needed to lure him away from the Santiago Bernabeu side.