The 26-year-old is unsettled and considered surplus to requirements at Santiago Bernabeu following the summer arrivals of Toni Kroos and James Rodriguez
Di Maria has fallen down the los Blancos pecking order following the summer arrivals of James Rodriguez and Toni Kroos, and has been heavily linked with a move to both Old Trafford or Paris Saint-Germain.
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And Madrid boss Ancelotti has now confirmed Di Maria's desire to leave, while Sami Khedira - another player heavily linked with a transfer - has also turned down the chance to extend his Madrid contract.
"The player has requested a transfer this summer. He rejected the club's offer to stay at Madrid, so we are looking for a solution," Ancelotti told reporters when asked about Di Maria.
"We will find a solution for Di Maria before the end of the transfer window, but he remains a Madrid player for now. We are in a situation that the player has to fix himself.
"I'm surprised that it seems as if we are not all in agreement about the situation, but this is not the case. We are all on the same line here.
"If Di Maria cannot find a solution for his future, he will stay here. We embrace him and he can continue to work here. There's no problem.
"Di Maria could start in the second leg of the Supercopa de Espana against Atletico, like all the players who are available."
Both Chelsea and Arsenal have monitored Khedira's situation this summer, but last month Goal revealed the German's £200,000-a-week wage demands were proving a stumbling block for any potential deal.
"Khedira's situation is different than Di Maria's situation," Ancelotti added. "He has just one more year to go on his current contract and he has only recently come back from a serious injury.
"We will see what happens, but he has not requested a transfer."