We report the measurement of direct photons at midrapidity in Au+Au collisions at sqrt{s_NN} = 200 GeV. The direct photon signal was extracted for the transverse-momentum range of 4 GeV/c < p_T < 22 GeV/c, using a statistical method to subtract decay photons from the inclusive-photon sample. The direct-photon nuclear-modification factor R_AA was calculated as a function of p_T for different Au+Au collision centralities using the measured p+p direct-photon spectrum and compared to theoretical predictions. R_AA was found to be consistent with unity for all centralities over the entire measured p_T range. Theoretical models that account for modifications of initial-direct-photon production due to modified-parton-distribution functions in Au and the different isospin composition of the nuclei, predict a modest change of R_AA from unity and are consistent with the data. Models with compensating effects of the quark-gluon plasma on high-energy photons, such as suppression of jet-fragmentation photons and induced-photon bremsstrahlung from partons traversing the medium, are also consistent with this measurement.