The European champions saw their lead at the top of La Liga lead cut to just two points after a 1-1 home draw against Villarreal last time out.
With Barcelona snapping at their heels, another slip-up could cost Real the league lead ahead of what is sure to be a crucial Clasico clash later this month.
"The team is improving - we've dropped two points [against Villarreal], but La Liga will be decided in the final match," Ancelotti told Real's official website.
"We have to focus on the two-point lead we've got, which isn't much, but is a lead we must make the most of.
"Now we have to carry on [against Athletic Bilbao] which will be difficult. [We will] try to produce a good reaction."
Ancelotti has been boosted by Sami Khedira's return to training, but is still without James Rodriguez and Sergio Ramos.
The win was Bilbao's second in a row, coming on the back of a 1-0 Liga success at Eibar.
