The 23-year-old, who is currently on international duty with England, was exposed in the media on Sunday as photographs surfaced of him taking the 'legal high' nitrous oxide - inhaling it from a balloon.
Walker has since said sorry for the incident that took place on a night out during Sheffield earlier this summer.
"Apologies for not commenting sooner on a story about me today. I've been training and am focused on Tuesday's game for England," Walker wrote on Twitter.
"Now I know the health risks, it was poor judgement on my part. I won't be doing this again and hope that no one else is influenced into putting their health at risk by my actions."
It is not yet clear if Walker will be punished by the FA for the incident.