Bayern ran riot at the Allianz Arena three weeks ago, with Arsenal - already facing up to elimination from Europe - losing at Liverpool on Saturday to further dent their chances of making next season's Champions League.
Amid a reported row with Alexis Sanchez, which Wenger denied taking place on Monday, the Frenchman has faced renewed calls for him to step aside from the club when his contract expires at the end of the season.
However, Ancelotti says the Gunners boss deserves greater respect and warned that his players must be on full alert against opponents with seemingly little to lose.
"I think that we have to live our jobs with critics sometimes," Ancelotti told a news conference.
"Wenger is a manger with a lot of experience and more experience than others and I'm sure he will be able to react, to manage the situation.
"This month is something that can happen to every manager, criticism is normal.
"I sympathise with him as a manager and a man. I have a good relationship with him and of course a lot of respect because not all the managers would be able to do what he did here in this club."
Asked if the Gunners were in chaos, Ancelotti replied: "I don't think so because, if the team are in a good moment, it could be a problem this game. If we are not playing well, you can go down.
"The team that has problems, maybe this kind of game could be a good opportunity to solve the problems."
Ancelotti has been on the wrong end of a few famous Champions League comebacks, including Liverpool's final win from 3-0 down in the 2005 final and Deportivo La Coruna's fightback from a 4-1 first-leg loss to beat the Italian's AC Milan to the 2003-04 semi-finals.
"I try to forget but I'm not able to forget," he said. "This is the beauty of football, in football you never know.
"I think that that experience was good for me to avoid this kind of problem.
"It could be a good moment to show that we are focused from the beginning and that we want to win and we don't take into consideration the advantage we have. The most important thing is to play well for 90 minutes."
Ancelotti vowed to play "the best team", with Manuel Neuer set to shake off a back problem to play and Rafinha drafted in to replace Philipp Lahm at right-back.