The Premier League club, who courted Ancelotti in the close season before choosing Luiz Felipe Scolari, have appointed Guus Hiddink until the end of the campaign having sacked the Brazilian.
The Russia coach will combine both jobs while Chelsea decide who will take over full-time.
"The only club which has come forward has been Chelsea. In the summer I met (owner Roman) Abramovich but I didn't want to leave Milan," Ancelotti told Italy's La Stampa newspaper.
"The same thing is happening now but I am not thinking about leaving."
Media reports have said Ancelotti, Serie A's longest-serving manager who arrived at the San Siro in 2001, could be sacked if Milan do not win the Serie A title this season.
Milan last claimed the scudetto in 2004 and finished fifth last term, missing out on a place in the Champions League which they won in 2007.
Defeat in Sunday's Milan derby would leave the third-placed Rossoneri 11 points behind leaders Inter Milan and almost certainly end their title challenge.
"This stuff also happened seven years ago. At this point of the season the same story always comes up. I am not worried," the 49-year-old said.
Ancelotti added that he envied Inter coach Jose Mourinho's ability to speak his mind.
"It is true, I almost never say what I think. The truth causes disruption and controversies," he said.
The coach also revealed he had not wanted to include David Beckham in his UEFA Cup squad list but changed his mind after talking with club officials.
The England midfielder is on a two-month loan from Los Angeles Galaxy and originally would only have been able to play in the last-32 tie against Werder Bremen this month.
Milan are now hoping to sign the in-form Beckham permanently and Ancelotti said the club should do their utmost to agree a deal with Galaxy.
"In my opinion, to keep Beckham one can make sacrifices because he is an important player for the team," he said.
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