Ancelotti was sacked by the Blues after a trophyless season at Stamford Bridge.
Kalou told Sky Sports News: “It is sad obviously. To see someone lose his job, it is not an easy thing.
“We will feel sad because we had a great time with him and we won two trophies with him and that is a good memory which we will all have.
“I didn’t know (he had been sacked) before someone told me so I didn’t get the time to talk to him (to say goodbyes).
“But I know he is a great coach and wherever he goes, he’s going to have a great time.”
