Di Gregorio was arrested with two others on Monday night while on the Tour and was transferred to his home town of Marseille, where he was heard by investigating magistrate Annaick Le Goff.
"To all those who support me, I can say that I can still look at myself in the mirror," Di Gregorio told reporters.
"I have never doped," added the Cofidis rider, who was provisionally suspended by his team on Tuesday.
"Where is the frontier between physical preparation and doping? That's the question experts will have to answer," Di Gregorio's lawyer Dominique Mattei told reporters.
Marseille prosecutor Jacques Dallest said that one of those arrested, a Marseille naturopath, had admitted to injecting ozone into Di Gregorio's bloodstream.
"He said he injected ozone into the rider's bloodstream twice. During another meeting, he had taken a blood sample that he enriched with ozone before injecting it again," he said, adding that the two had met four times between the end of May and end of June this year.
"During another meeting, he injected a dose of 250 ml of glucose into the rider. Those two practices are forbidden," said Dallest.
Dallest said other products found in phials were being analysed by the French gendarmerie after they were seized from a third person travelling from Marseille to Bourg en Bresse where Di Gregorio was staying.