The English champions face Spartak Moscow on Tuesday at the Luzhniki Stadium, the scene of their defeat on penalties to Manchester United in the 2008 Champions League final.
Ancelotti, however, dismissed any suspicion the disappointment would affect his players against Spartak - in particular John Terry, who slipped and sent his crucial spot-kick wide in the shootout two years ago.
"Most of all, I think it was a great experience for John Terry and others playing in a Champions League final," the Italian told a news conference at the Luzhniki Stadium.
"It's football and sometimes you can lose a big match. I lost one (five) years ago," he said of the 2005 Champions League final, when he was coach of AC Milan and his team blew a 3-0 half-time lead against Liverpool before losing in a penalty shoot-out.
"I don't think it will have any psychological effect on our team," Ancelotti added. "Tomorrow's match is different, it's not a final so I don't think the players will have a problem."
INJURIES MOUNT
Chelsea, who, like Spartak, have won their first two games in Group F, arrived in Moscow without several of their key players, including leading striker Didier Drogba, because of injury or illness.
"We're missing Drogba, (midfielder Frank) Lampard, (defenders) Alex and (Jose) Bosingwa, but we have a big enough squad to cope with any problems," Ancelotti said.
The injuries mounted on Monday, when the Brazilian Ramires was ruled out with an ankle problem.
Ancelotti was asked several times if his club would bid for Manchester United's Wayne Rooney in the next transfer window, but he refused to speculate.
Rooney was left out of United's starting line-up against West Bromwich Albion in the English premier league on Saturday, and British media claim the striker has had a falling-out with manager Sir Alex Ferguson and has refused to sign a contract extension at Old Trafford.
"He has some problems at the moment but right now he is still a Man United player," Ancelotti said of Rooney.
"If you want to know what players Chelsea want to buy and how much money they want to spend on players you should ask Roman directly," he added, referring to the club's billionaire owner, Roman Abramovich.
