Can someone tell me what is the physical meaning or implication of a system's density matrix having complex eigenvalues?
Do we require the diagonal elements of a density matrix to be real? If so, why and then what about the off diagonal elements?
This hardly makes sense: if you go to a basis where the density matrix is diagonal, its eigenvalues will appear as the diagonal entries. Since the diagonal entries are populations and thus must be real and non-negative, this pretty much excludes complex eigenvalues.
There is no restriction on the off-diagonal pieces other than $\rho_{ij}=\rho_{ji}^*$ to preserve hermiticity of $\rho$: the coherences can be complex.
(Note that eigenvalues of a hermitian matrix are necessarily real so if you get imaginary parts it could be small roundoff errors, not uncommon if one is not careful and works with very large density matrices.)