Di Maria was instrumental for Real in 2013-14 as Carlo Ancelotti's men won the Copa del Rey and UEFA Champions League.
The Argentina international produced a man-of-the-match performance to help Real to a 4-1 victory over city rivals and La Liga winners Atletico Madrid in the Champions League final in Lisbon last weekend.
"Sometimes I don't understand why I'm not on the list when I've had a great season for a great club," he said.
"Here are the players who won. I didn't win and I wasn't even among the nominees, the 10 or 50 best. But these things happen. You have to keep working.
"You work to continue to grow and improve and be among the best.
"There are many players who are doing well but I think I had a great season, my best at Real Madrid.
"We won the Champions League and I was the best player in the final. I also had a good year with the national team.
"I hope everything goes well now."
