Real complained after defeat at Espanyol to the RFEF in a lengthy public statement, criticising the state of refereeing in Spain and also incidents during the weekend 1-0 defeat.
Among the complaints was the decision not to send off Carlos Romero for an apparent foul on Kylian Mbappe before he scored Espanyol's winner.
Mao said today: “I have not read the letter. I am concerned about Espanyol, the competition and the season.
"I would be concerned about the threats that our player, Carlos Romero, is receiving."
Mao also said: “We will provide the player with all the defence, all the coverage, from the security and communication department."
Asked about the specific action on Mbappé, he insisted: “I am not going to evaluate a specific play , this is football.”