Asked about reports linking Chelsea defender Antonio Rudiger with a move to Real Madrid, Ancelotti appeared to be "unaware".
Rudiger has revealed that he wants to leave Stanford Bridge at the end of the season at the end of the season.
The Germany international has agreed a deal to move to Madrid this week.
"I'm very happy to be here," he said. "I'm very happy to be here. I'm very happy to be here. I'm very happy to be here. I'm very happy to be here.
"Until he became a Chelsea player, "He is still a Chelsea player and I can not say anything yet.
Ancelotti highlighted Real's defense as a key factor in the defeat.
Kevin De Bruyne and Gabriel Jesus found the net in the 11th minute at the Etihad Stadium, with Madrid earning two wins in a single Champions League match.
Carrick Benzema made his 600th appearance for the club, while Veniceius Jr. found Fernandinho in the second half after Phil Foden nodded and found Conte.
Bernardo Silva chased after a handball inside Aymeric Laporte's armband, fired a brace at Benica and recaptured Manchester City's two-goal lead before giving Madrid another chance.
"You can't hide your position with four backers," he said. You have to help with a midfielder.
"There have been defeats in individual competitions, so we have to be more careful. We have chances because of football.
"We conceded four goals and we couldn't control the defense well in the first half.
"We hit City with the ball, but what we have to do is defend better. The result could change in the second round. They are a very strong team. They showed tonight but we competed. We have reached the final."
Madrid can win the La Liga title if they are remembered in Espanyol on Saturday, but Ancelotti has no intention of winning until Wednesday's return game against Manchester City at Santiago Bernabeu.
"If we win the League Cup we will win and we will help them on Wednesday," he said.