Police commissioner Thord Haraldsson said on Wednesday that the force had investigated the alleged crime, but that "nobody can explain his story."
"We spoke to a lot of people [in the area] and nobody can verify what he said happened."
On August 14 it was reported that the soldier, who belongs to a regiment in Skovde, southwest Sweden, was attacked in the nearby town of Skara.
According to the soldier's account, he was wearing uniform when he was attacked at lunchtime after leaving a convenience store. He alleged his attackers had long black beards, spoke in broken Swedish and shouted "Allah," and "you will die you infidel bastard."
"What we know is that one of our soldiers has been attacked with a knife, and that the incident is classified as attempted murder. We are working with the police."
"The soldier has a scratch on his stomach. If it had been a deeper wound, it would certainly have been worse."
However, medical experts who examined the stomach wound and the soldier's clothing contended his injuries likely to have been self-inflicted.
The police say they moved to publically expose the deception after posts made by users on social networking websites which appeared to threaten vigilante attacks on migrants suspected of being the perpetrators.