The star denies raping Najila Trindade at a hotel in Paris on 15 May, and thanked his fans outside the station for their support.
Ms Trindade filed the allegation last Friday, telling a Brazilian TV channel she wanted justice.
MasterCard has suspended an advertising campaign with Neymar.
The credit card company said it would stop using images of the star, who is the world's most expensive signing and plays for French champions Paris St-Germain, until the situation was resolved.
Sportswear manufacturer Nike Inc said earlier it was "very concerned" about the rape accusation against Neymar, whom it sponsors.
Neymar attended the station on crutches after having sustained an injury to his right ankle during Brazil's game with Qatar in Brasilia on Wednesday.
His lawyer, Maira Fernandes, told Reuters news agency: "Neymar has just given a statement. He made the point of coming as soon as he could to give a statement, to clarify everything that needed to be clarified.
"We are absolutely confident that we will prove the innocence of our client... The process was thorough but he provided all the clarifications that were to be provided."
Speaking at the door of the police station, Neymar said: "I appreciate the support and all the messages that the world has sent, my friends, my fans, that the world is with me. I want to say thank you for the well wishes, and say that I have felt very loved."
Ms Trindade, who is also from Brazil, says she met Neymar on Instagram.
She told the SBT Brasil channel she had been attracted to the footballer and had wanted to have sex with him. She said she had been flown to Paris and put up in a hotel at his expense.
When she met Neymar, she said he was "aggressive, totally different than the boy that I got to know through the messages".
She said she had been initially prepared for consensual sex but had demanded the use of a condom. Neymar had refused, become aggressive again and raped her, she said. She said she had told him to stop but he had refused.
She described the incident as "an assault together with rape".