The Italian maintains he will be happy should the Welshman finally complete his move from Tottenham and revealed Diego Lopez will continue in goal ahead of Iker Casillas
The Wales international is reported to have agreed a six-year deal to join los Blancos in a world-record €100 million deal, although the club are not expected to finally announce the deal until Monday.
Ancelotti, however, maintains he has few qualms over the protracted negotiations for the player.
"Everybody knows Bale, who is a fantastic player," he told a press conference. "I don't know how much more time he will play for Tottenham, but he is still their player.
"I am working with my players, not the players who are not here. If doesn't frustrate me that Bale hasn't arrived yet. If he arrives, whenever that may be, I'll be happy."
Ancelotti also revealed he plans to stick with Diego Lopez in goal for the time being, but insisted that Iker Casillas has shown no desire to leave the club despite seeing his long-standing No.1 spot usurped in 2013.
"Diego Lopez will start in goal against Athletic," the Italian continued. "He is playing well, he is calm.
"Casillas is a professional and deserves my respect. I want to talk with him over the next few days to explain the situation.
"Iker has not spoken to us [about leaving]. We need two very good goalkeepers and I'm sure Casillas will get the chance to play this season."
Ancelotti went on to reveal that the club will look to find an amicable solution concerning the future of Kaka, who publicly expressed a desire to leave Santiago Bernabeu on Thursday.
"The other day he was clear with the press. The club understand his decision. In the next few days we will look for a positive solution."
While Kaka looks set for the exit door, a world-record deal to bring Gareth Bale to the club from Tottenham has yet to be completed, but Ancelotti refused to be drawn on discussing the Welshman's future.
"I don't want to talk about players who are not here. We are concentrating on preparing for the game and I don't think many things will change in the next two days," he said.
Finally, Ancelotti moved to play down concerns over the early-season form of Cristiano Ronaldo, insisting a change in style within the team is responsible for his failure to score thus far in 2013-14.
"[Ronaldo] has changed his position a little. It's not a problem that he hasn't scored yet," the 54-year-old added.