The pair have been linked with moves to the Premier League but the Blancos coach insists that neither player is nearing the Santiago Bernabeu exit door
The pair are being strongly linked with moves to England before the close of the summer transfer window, with Manchester United reportedly having made Di Maria one of their primary targets and both Chelsea and Arsenal allegedly tracking Khedira.
However, Ancelotti insists that neither player is on the verge of leaving the Santiago Bernabeu and said that nothing should be read into the fact that the duo did not feature in the midweek Uefa Super Cup success over Sevilla in Cardiff.
“Nothing has changed," the Italian told reporters. "They're Real Madrid players.
"I just chose other players for the European Super Cup. Only [Khedira's Germany colleague Toni] Kroos played from among those who arrived back on August 5."
Ancelotti also insisted that Madrid also have no interest in dipping back into the transfer market before the end of the month.
“It's done," the former AC Milan and Chelsea boss stated. "We're not looking to make any more signings."
Meanwhile, Ancelotti confirmed that both Di Maria and Khedira are likely to feature in Saturday's friendly against Fiorentina, alongside new goalkeeper Keylor Navas.
"It's an important day for Keylor, who's going to get some game time," the 55-year-old confirmed.
"He's in perfect shape and it's good for him to play and we'll make the decision on who plays in the Supercopa de Espana later on."
Madrid face city rivals Atletico in the first leg of the Supercopa at the Santiago Bernabeu on August 19 before locking horns at the Vicente Calderon three days later.