Khodayari was taken to a Tehran hospital with severe burns, and she died late Monday.
The 29-year-old was facing prison time for attempting to enter the stadium and overheard court officials discussing her potential sentence when she set herself alight, one media outlet quoted her sister as saying.
In Iran, a Shiite Muslim theocracy, women are barred from entering stadiums during male sporting events, so Khodayari disguised herself as a man.
Iranian women have been banned from stadiums when men's teams are playing since just after the 1979 Islamic revolution, though foreign women have been allowed limited access.
The judiciary's Mizan Online website said a young woman had been arrested when she tried to enter a stadium and faced charges of offending "public chastity and insulting" law enforcement officers.
Khodayari was discovered, arrested and detained.
Federation Internationale de Football Association said Tuesday it was "aware of that tragedy and deeply regret it".
She had tried to sneak into the stadium dressed as a man, her sister previously told Iranian media, but admitted she was a woman when security tried to search her.
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In a statement issued on Monday before reports of Khodayari's death, HRW said her case underscored "the need for Iran to end its ban on women attending sports matches - and the urgency for regulating bodies like Federation Internationale de Football Association to enforce its own human rights rules".
Esteghlal FC expressed sorrow over her death. Although Iranian President Hassan Rouhani has said he is in favor of lifting the ban, he has not been able to change the rule due to resistance from Iran's clergy.
The death of Khodayari sparked an outcry online, with many calling on world football's governing body FIFA to ban Iran from global competitions and for fans to boycott matches. Esteghlal expressed sorrow over her death. The judiciary's news website said Khodayari's body had been handed over to her family, who live in Qom, south of Tehran.
Iran has come under pressure from Federation Internationale de Football Association to allow women to attend qualifiers for the 2022 World Cup, reportedly giving it a deadline of August 31.
While a small number of Iranian women have attended select global matches on previous occasions, others have faced prosecution for entering stadiums at other times.
The case has led to a debate in Iran about the decision to bar women from men's soccer matches and prompted several celebrities and sports stars to speak out.
However, that has drawn criticism from human rights activists overseas, as well as at home. Iran's government faced an August 31 dead by Fifa to allow women to attend official football matches in order to "pave the way" for female attendees, the BBC previously reported.