England international Sancho unveiled a 'Justice for George Floyd' T-shirt after scoring against Paderborn.
Floyd, an unarmed black man, died while being restrained by a white Minneapolis police officer on 25 May.
Protests have been held across the United States and globally.
In a statement, the German Football Association (DFB) said no proceedings would take place against the four players "because of their solidarity and anti-racism statements".
It added: "The panel also intends to maintain this line in the event of renewed anti-racism campaigns to mark the violent death of George Floyd on the coming match days."