The Gunners made enquiries into a £20 million move for the Germany international, but were put off by the player's wage demands and never made an official bid.
Goal understands Chelsea have maintained an interest in Khedira, whom Mourinho coached at the Bernabeu.
But Ancelotti has reiterated the 27-year-old is under contract until the end of the upcoming season and will stay with the club for the time being.
"He’s not leaving, he’s a Real Madrid player," Ancelotti told reporters. "He has a contract until June 30, 2015 and that’s all there is to say."
Los Blancos risk losing Khedira on a free transfer if he fails to agree a new deal with the European champions during the 2014-15 campaign, with reports suggesting that contract talks have stalled.