The future of Khedira - out of contract at the end of the 2014-15 season - has generated much speculation after Ancelotti confirmed midweek the Germany international midfielder had decided against signing a new deal.
Talk intensified when Khedira was omitted from the squad to play city rivals Atletico Madrid, who triumphed 2-1 on aggregate on Friday.
"Khedira had permission, I gave him permission to leave," the Italian boss told reporters.
"When a player is free I'm not interested in his whereabouts."
And Khedira's agent reportedly met with Bayern officials on Friday as the German giants attempt to lure the 27-year-old World Cup winner back home.
That has not stopped reports linking Real with another raid on Ligue 1 side Monaco, this time for star striker Radamel Falcao in attempt to support Karim Benzema.
"The market is closed for us," he added.
"I'm very happy with Benzema, although he doesn't score in some games he brings a lot to the side."
