The Portuguese is set to return to Chelsea at the season's end, with the Italian touted a potential replacement at the Bernabeu, but Ancelotti says all talk of a move to Spain is just rumour.
"I am honoured of the work I do here and it is normal," he said at a press conference.
"A coach has a great responsibility. I'm not talking about Real Madrid, why would I have to talk about it? I have not spoken with Madrid, journalists talk about Madrid."
Ancelotti went on to pay tribute to midfielder David Beckham, who announced on Thursday that he will hang up his boots at the end of the season after an illustrious career.
"He made his decision, we must respect it. He thought it was the right time to stop. The world of football and PSG have lost a great player, but he made the right decision because he himself decided to stop," he added.
The Italian also spoke about his relationship with the PSG squad and staff, thanking them for the support they have given him throughout his time in the French capital.
"I like the players and the staff. When you win it means that the relationship was good. We had hard times but it is a good test to understand if a group is strong in character.
"This group was strong. We had a party this week and there is a game tomorrow. Tomorrow we'll talk about other things. I do not think because I'm busy with the party and many things. I have not had time. "