IllegalStateException( "You can not set Dialog's OnCancelListener or OnDismissListener")

From Android documentation:

public Dialog onCreateDialog (Bundle savedInstanceState)

Override to build your own custom Dialog container. This is typically used to show an AlertDialog instead of a generic Dialog; when doing so, onCreateView(LayoutInflater, ViewGroup, Bundle) does not need to be implemented since the AlertDialog takes care of its own content.

This method will be called after onCreate(Bundle) and before onCreateView(LayoutInflater, ViewGroup, Bundle). The default implementation simply instantiates and returns a Dialog class.

Note: DialogFragment own the Dialog.setOnCancelListener and Dialog.setOnDismissListener callbacks. You must not set them yourself.

To find out about these events, override onCancel(DialogInterface) and onDismiss(DialogInterface).

So basically, you must override the onDismiss or OnCancel instead of '.setOnCancelListener(onCancelListener)'.

You may try this:

@Override
public Dialog onCreateDialog(Bundle savedInstanceState) {
    AlertDialog.Builder builder = new AlertDialog.Builder(getActivity());
    builder.setTitle("Title");
    builder.setMessage("Message");
    builder.setPositiveButton("OK", new DialogInterface.OnClickListener() {
        @Override
        public void onClick(DialogInterface dialog, int which) {
            // do something positive
        }
    });
    return builder.create();
}

@Override
public void onCancel(DialogInterface dialog) {
    // do something
}

Hope it can help ...