The planned rink, heavily advertised across London and and much of the building work had been completed ahead of schedule.
But the venue has put out a statement saying it will refund any tickets already purchased.
"After careful consideration, we have taken the decision to cancel the ICExperience event that had been planned for Wembley Stadium over the Christmas period," said the statement.
"We apologise to all those people who have already purchased tickets. Full refunds are available from your authorised ticketing agent."
Corporate events for the venue had been planned, but have now been put on ice. The rink would have been 350 metres long, running in an oval shape around the pitch and accommodating up to 700 skaters per hour.
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The venue, which hosted 38 major events this year, welcoming 2.5million people through the turnstiles, is still hosting Christmas parties.