The Bundesliga champions were dispatched in ruthless fashion by Vincenzo Montella's side thanks to goals from Franck Kessie, Hakan Calhanoglu and a double from Patrick Cutrone.
Bayern suffered a penalty shoot-out defeat to Arsenal after conceding a last-minute Alex Iwobi equaliser and have only two more pre-season games against Chelsea and Liverpool before the DFL-Supercup against Borussia Dortmund on August 5.
And Ancelotti is aware they must improve quickly to be ready for the start of the domestic season.
"I am surprised by the result," he told a news conference. "I am disappointed, we did not have any balance and we did not play well. This should not happen to us.
"The transition game did not work. There is still time to prepare for the season and that is what we need to do. In Shanghai [against Arsenal] we played well for 50 minutes.
"The results are not good. The most important thing is to improve our condition and not have any injuries so we are ready for the Supercup."