"The man that died was a wonderful, great man and I hope some day that his family understands that it was just a terrible accident."
The Pentagon also welcomed the decision, saying it believed the case should never have gone to court in the first place.
But the ruling drew protest from Italy's political left on Wednesday, with politicians accusing the Rome court of dishonouring the memory of a national hero.
Lozano, who was a gunner at a checkpoint on the road to Baghdad airport, says he opened fire on a car carrying Calipari and freed journalist Giuliana Sgrena after the driver ignored warning shots and refused to stop.
Washington refused to hand Lozano over for trial.
Lozano's Italian defence lawyer, Alberto Biffani, said: "The court has granted our request on lack of jurisdiction so we win this case."
Lozano has also blamed the Italian journalist whose release Calipari had just secured before he was shot for creating such a dangerous situation.
"Because of her I caused another family grief," he told Reuters in an interview in May.
But Italian prosecutors had also sought to convict Lozano for the attempted murder of the journalist, who was wounded in the shooting.
She told reporters at the court house that the decision not to try Lozano was "absolutely incomprehensible".
"It's been hard because the Americans threw up many obstacles..." she said.
"But for us Italians to renounce what we could have done to learn the truth is a denial of Italian sovereignty and I find that very serious."
The agent's widow, Rosa Calipari, who was elected to the senate following his death, declined comment but her lawyer called the ruling "surprising".
The court will not make public the reasoning behind the decision for up to two months, but Biffani said his arguments included that "Mr Lozano was part of the United States armed forces" and as such had "immunity".
The case had strained relations between the US and Italy, which has described the killing as an accident but has also criticised the US military for leaving inexperienced troops at a poorly set-up roadblock.