Speculation was prompted by comments from Bayern chief executive Karl-Heinz Rummenigge, who flagged up Dybala as a player he liked during an interview with the Italian media last weekend.
Rummenigge was talking about how difficult it is to sign established stars in the modern game and was asked to highlight an example of a player he would like to bring in.
"Dybala is a very good player," Ancelotti said at his pre-match media conference.
"But these rumours are a myth. We are focused on our game and the matches that follow it.
"We have no time to think about these myths."
Argentina international Dybala is in a rich vein of form having scored 10 goals since the start of 2017.