Ancelotti has been linked with the Blues after the club parted company with Luiz Felipe Scolari on Monday.
Chelsea have brought in Guus Hiddink as coach until the end of the season but reports suggest they will then make a move for Ancelotti.
“Every year at this stage of the season there are the same stories, but I am not worried,” Ancelotti told La Stampa.
“Last year the only club that made an approach was Chelsea. Over the summer I met with (Roman) Abramovich, but I did not want to part with Milan.
“The same applies now, I do not want to go.”