Ancelotti had spent his entire career as a manager in Italy before taking charge at Chelsea last summer.
“The Premier League is now much better than Serie A,” he said.
“In Italy there are only three teams – Roma, Inter and AC Milan.
“In England it is much more competitive. It is not just the top four, Tottenham, Aston Villa, Everton and Manchester City can also beat you.
“We would like to win the Champions League with Chelsea because it is a competition the club have never won.
“But for me and for the club, I don’t think it is more important than the championship.”