Alonso was booked in the first half of Real's 4-0 semi-final second leg win over Bayern Munich for a clumsy foul on Bastian Schweinsteiger.
The yellow card was the Spain international's third of the tournament, ruling him out of the final against city rivals Atletico Madrid in Lisbon on May 24.
Real were already 3-0 ahead – and 4-0 up on aggregate – when Alonso committed his foul, and he later claimed missing the final was a "shame" and that being banned for the final due to an accumulation of yellow cards was an "unfair rule".
"Xabi Alonso's natural replacement is (Asier) Illarramendi (if required)," Ancelotti said.
"But we will appeal the yellow card."
And Ancelotti said he will play a part in his matchday squad for Sunday's home clash against Valencia.
"Khedira is available for tomorrow. He will start on the bench," he added.
"Khedira will come back slowly (though). We will organise a friendly in Valdebebas next week to help him improve."
