The Italian coach was utterly delighted with his side's ruthless performance in Germany but insists his team must respect its opponent in the second leg.
The Spanish giant was simply irresistible in the first leg of the last-16 clash at the Veltins Arena, blowing Schalke away with two goals apiece from Cristiano Ronaldo, Karim Benzema and Gareth Bale.
The trio took their cumulative goals total for the season to 70 before Klaas-Jan Huntelaar scored a brilliant volley in second-half stoppage time against his former team that was nothing more than a consolation for the Germans.
The result equalled the Blancos' best-ever away win in the Champions League and Ancelotti was understandably elated to be taking what looks almost certain to be an unassailable five-goal cushion back to Santiago Bernabeu.
"The match was perfect," he told Canal Plus. "It was fantastic. We all played well together, working as one. I'm proud of all my team. It's hard to lose a game like that.
"Everything has gone well tonight - defensively and in attack. The front three especially looked very dangerous.
"Is the tie over? You have to have respect for everything - the opposition and their fans. Football is strange. We have to play. The first leg was very good, and the advantage is great, but we have to play well."
Madrid now turns its attention to the weekend derby clash with Atletico Madrid, but Ancelotti admits it will be tough to consider rotating the team after Wednesday's supreme display.
"All the squad are fresh. We may change some things, but it's not easy to change a team that's doing so well. I hope to repeat this performance on Sunday," he added.