Ancelotti has come in for criticism after Real suffered a 1-0 defeat at Athletic Bilbao on Saturday following a 1-1 draw against Villarreal the previous weekend.
Those setbacks have seen the European champions replaced by Barcelona at the top of La Liga with 12 games remaining.
However, Ancelotti insists he is not feeling the heat on the eve of Real's second leg against Schalke, who have a mountain to climb at the Santiago Bernabeu after losing the first match of the last 16 tie 2-0.
The Italian coach said at a press conference on Monday: "Florentino Perez called me to support me and the players they also support me.
"When we lose a game they say it’s the coach's fault, but when we win the coach's merit is zero."
Much has been made of whether Ancelotti should persist with his attacking trio of Cristiano Ronaldo, Gareth Bale and Karim Benzema, but the former Milan coach has given to his star-studded strike force.
He said: "I have total confidence in the BBC [Benzema, Bale, Cristiano]. Them starting the games is not negotiable.
"The problem is clear. Our speed of play and passing hasn't been quick enough so we have been struggling.
"We will not change the way we play."
Ancelotti also revealed that he plans to bring Luka Modric off the bench against the Bundesliga side for his first appearance since suffering a thigh injury back in November, while Sami Khedira is also set to make his return from injury.
Sergio Ramos will play no part against Schalke, but Ancelotti said the defender will be fit to face Levante on Sunday following a hamstring problem.
