Riders have crashed as a result of the protests, with some saying they have been worried for their safety.
Last week, Israel-Premier Tech began racing in modified jerseys which did not display their team name.
There was no podium presentation for Vingegaard or the winners of the other race jerseys.
“It’s a pity that such a moment of eternity was taken from us,” said Vingegaard.
“I was looking forward to celebrating this overall win with my team and the fans. Everyone has the right to protest, but not in a way that influences or endangers our race.”
Clashes continued after the race was abandoned, with protesters throwing bottles of water and other objects at police.
Race organisers had already shortened the 21st and final stage of the Vuelta from 111.6km to 103.6km.
Organisers did not specify a reason for the section removed, which would have crossed the plush Madrid neighbourhood of Aravaca.
Cycling journalist Brian Smith told BBC Sport: “They realised [there could be disruption] a few days ago when the protesters stopped a stage going into Bilbao.
“So there was always a contingency in place and the riders all voted to ride into Madrid. They knew something may happen.”
The protests come in the wake of the Israeli military launching a campaign in Gaza in response to the Hamas-led attack on southern Israel on 7 October 2023, in which about 1,200 people were killed and 251 others were taken hostage.
At least 64,871 people have been killed in Israeli attacks in Gaza since then, according to the territory’s Hamas-run health ministry.
Speaking before Sunday’s final stage, Spanish Prime Minister Pedro Sanchez said he admired the protesters.
“Today marks the end of the Vuelta,” Sanchez told a socialist party rally in the southern city of Malaga. “Our respect and recognition for the athletes and our admiration for the Spanish people who are mobilising for just causes like Palestine.”
Madrid’s mayor, Jose Luis Martinez-Almeida, said Sanchez’s comments were to blame for causing the abandonment.
“[It is] violence that the prime minister is directly responsible for due to his statements this morning instigating the protests,” he said.
“Today is the saddest day since I became mayor of this great city.”
Israel’s foreign minister Gideon Saar called Sanchez and his goverment a “disgrace” to Spain.
Posting on X, Saar said: “Today he encouraged protesters to take to the streets.
“The pro-Palestinian mob heard the messages of incitement – and ruined the cycling race La Vuelta.”
