The Italian boss spent 13 years at AC Milan playing and managing, winning the Champions League twice in 2003 and 2007.
Meanwhile Inter president Massimo Moratti is said to be very interested in bringing Ancelotti back to Serie A and is known to be an admirer of the Italian. However the Chelsea manager denied he would ever go the Nerazzurri out of respect for his former club.
Ancelotti told Il Giorno."If I would go to Inter in place of Leonardo? No, although I respect certain personal choices.
"I've spent 13 years at Milan, for me it is impossible to deny the past.
"Moratti said he thought also of me? I thank him for the kind words but I don't change my mind, I'm an AC Milan man.
"And in the event that Moratti had to call me in the future, I'll politely decline the invitation."
Ancelotti did admit he would consider a return to the red and black side of San Siro if ever the call came, but at the moment he is fully concentrated on his current job at Stamford Bridge.
"Returning to AC Milan? Now I'm at Chelsea, I don't think," he said.
"But if one day [club owner Silvio] Berlusconi or someone from AC Milan would call, I would not think for a moment to say yes, because certain relationships and certain victories will never be forgotten."