Zozulia, 27, spent just 24 hours on loan at the club from Spanish rivals Real Betis before being recalled following Vallecano fans greeting his arrival with banners reading: "Vallekas is not the place for Nazis."
But La Liga on Thursday said they were bringing a criminal case against 10 fans "on charges of coercion".
Zozulia insisted he was "not linked to or a supporter of any paramilitary or neo-Nazi group."
However, he did admit to "collaborating with the Ukranian army to help protect his country."
Zozulia has only made six appearances for Betis since joining on a free transfer from Dnipro Dnipropetrovsk at the start of the season.