There were reports in Italy on Thursday that Ligue 1 champions PSG were close to finalising a deal for Allan that could be worth in excess of €100 million (£87m/$114m).
Ancelotti has decided to leave the 28-year-old out of his squad for the trip to San Siro given the speculation over his future in recent days.
However, he maintains Napoli have no desire to sell Allan at this stage of the season.
"Allan is not in the squad for tomorrow," he told a news conference on Friday. "He's had a troubled week and he's not trained much.
"We're keeping him here to train and for the game on Tuesday [against Milan in the Coppa Italia quarter-final].
"The only thing I know is that he is staying, fortunately. Nothing more. He's an important player for us and will be more and more important this season.
"With Allan, we've always been very clear. There is no need to sell him. PSG wanted him, but then there are conditions and negotiations.
"The club would have accepted the player's wish to move if the conditions were there, but the player is aware [this is not the case] and we won't have any problems."
Ancelotti did, however, confirm Napoli's interest in Villarreal midfielder Pablo Fornals, who is said to have a release clause of €25m (£22m/$28m), and reiterated his admiration for PSV forward Hirving Lozano.
"The club is very attentive to what goes on in football internationally," he said.
"Fornals is one of the players we are following with interest. Lozano is part of that list of players. He's a great forward."