The officer, whose name was not reported, was stripped of his usual duties and given a desk job in July after officials learned of his alleged comment, The Washington Post reported.
Police officials said the officer made the remark while having breakfast with several other officers and one of them reported what had been said.
"Our investigation is complete and there will be no criminal charges resulting from it," said Edwin Donovan, a spokesman for the U.S. Secret Service, which conducted a joint inquiry with D.C. police.
An official, speaking on the condition of anonymity, said the officer "wasn't being serious" when he allegedly said he wanted to shoot the first lady.
Police Chief Cathy L. Lanier said Thursday the investigation is continuing and the officer may be removed from the force. She said there was "absolutely no place for jokes that could be perceived as a threat to the first lady [or anyone else]."