Olsen's name has been linked to the case because the masseuse who found Ledger the day he died in his Manhattan apartment last week reportedly called Olsen several times before dialing 911.
"There is absolutely no indication that investigators were going to speak to Mary-Kate Olsen," the New York Daily News quoted Kelly as saying. "They determined that they had all the information needed, by the witnesses who were on the scene."
Kelly said detectives conducted thorough interviews with Ledger's housekeeper Teresa Solomon and his masseuse Diane Lee Wolozin, as well as with the three security guards Olsen, who was in Los Angeles at the time of the incident, sent to Ledger's apartment to help, the News said.
Ledger, an Oscar-nominated Australian film actor, died at the age of 28. The cause of his death has not yet been determined.