Chelsea will travel for Wednesday's quarter-final first leg with Frank Lampard trying to win for the first time since being named interim coach and the team in the bottom half of the Premier League.
Ancelotti, whose side are looking to win the trophy for the sixth time in 10 years, said of Chelsea's plight: "I am sad, yes," said Ancelotti. "I have a fantastic memory of this club, of the people that are still working there.
"I'm a supporter of Chelsea, of course, because I spent two really nice years there."
There are doubts about his future given the rumours he could take charge of Brazil's national team.
The outcome could potentially help Lampard reclaim a permanent job with the English club, or influence Ancelotti's decision on whether to accept the Brazil job.
Chelsea appointed Lampard to replace Graham Potter but lost his first match, at Wolves on Saturday.
"We have an opportunity against a fantastic team and we just have to attempt to make the most of the opportunity — go there with confidence and go there with a belief, because otherwise you don't turn up," said Lampard, the former Chelsea midfield great who also coached the team from 2019-21.
Ancelotti and Madrid are coming off a 3-2 home loss to Villarreal that all but ended their hopes of winning the Spanish league as they trail leaders Barcelona by 13 points with 10 matches remaining.
Ancelotti has said he wants to remain with Madrid until the end of his contract next year, but acknowledged that he was flattered to know about Brazil's interest.
Ancelotti said having two decades of coaching experience more than Lampard won't make much of a difference.
"He is a fantastic and extraordinary professional," Ancelotti said. "I don't think that in this case the experience will mean much. He arrived only a week ago and I'm certain that he will do well for as long as he stays with Chelsea."
Madrid and Chelsea have won the Champions League in the past two seasons are used to facing each other in the knockout stages.
Madrid beat Chelsea in the quarter-finals last season, 5-4 on aggregate, but in the previous year Chelsea overcame Madrid in the semi-finals.
"We suffered a lot last year," Ancelotti said. "Chelsea is a top team and in matches like these there is always extra motivation."
Ancelotti will have nearly all of his players available, with the exception of left back Ferland Mendy. Mason Mount and N'Golo Kante should be available for Chelsea.
In Wednesday night's other tie, Napoli will be missing star striker Victor Osimhen for the all-Italian clash at AC Milan.
Osimhen is the top scorer in the Italian league this season and his 21 goals have played a crucial role in Napoli's seemingly unstoppable march to the Serie A title.
But he has a thigh injury and was not included in the squad.
Napoli will now hope to have him back for the second leg next Tuesday.
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