The Argentine thrived in a deeper position for Los Blancos last term, helping the capital outfit win the Copa del Rey and Champions League.
"Sometimes I don't understand why I'm not on the list when I've had a great season for a great club. Here are the players who won. I didn't win and I wasn't even among the nominees, the 10 or 50 best," he told AS.
"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."
Di Maria also contributed 17 assists in La Liga last term.