Speaking ahead of Sunday's home clash against Athletic Bilbao, Ancelotti revealed that his side were working hard on their defending from dead-ball situations.
The European champions needed a 77th-minute strike from Karim Benzema to seal a 2-1 come-from-behind win at Bulgaria's Ludogorets in the UEFA Champions League on Wednesday.
"Of course we are concerned," Ancelotti is quoted as telling AS.
"And more so because we're playing [Ernesto] Valverde's team.
"We're working to fix it. Madrid though aren't the only team who concede from set-pieces. It happens to Barcelona too.
"We're working on it. Also, we have scored a lot of goals from set-pieces too."
Real sit fifth in La Liga but have won their last three matches – scoring 15 goals in the process.
