We report a search for diphoton events with large missing transverse energy produced in ppbar collisions at sqrt(s)=1.96 TeV. The data were collected with the D0 detector at the Fermilab Tevatron Collider, and correspond to 6.3 fb-1 of integrated luminosity. The observed missing transverse energy distribution is well described by the standard model prediction, and 95% C.L. limits are derived on two realizations of theories beyond the standard model. In a gauge mediated supersymmetry breaking scenario, the breaking scale Lambda is excluded for Lambda