Madrid are often at the heart of big transfer deals and there have been suggestions that the likes of Xabi Alonso and Iker Casillas could be heading away from the Spanish capital.
But with the Primera Division back on the table - Madrid take on Celta Vigo on Monday - after the winter break, Ancelotti insists no-one is going anywhere.
"Casillas' situation is very clear," the Frenchman said of the Spain captain, who is no longer a first-team regular at club level.
"He will play in the Champions League and also in the cup."
Casillas has been linked with a move to Manchester City, while former Liverpool midfielder Alonso has a contract that is running down quickly.
"I think that we will find a solution and reach an agreement between club and player," Ancelotti said of him.
"There is nothing new regarding that. No players are leaving and we're not going to sign anyone. The window is closed for us."
Madrid have been in Doha for an exhibition match but are now back on home soil and looking at closing the gap between themselves and the leaders which currently stands at five points.
Madrid won the game against Paris St Germain 1-0 and Ancelotti was pleased with how they showed up.
"It was not easy to play after the break and having not done anything for a week," he said.
"Real Madrid played well and it was a good match to watch. PSG played well too. The players are pleased to get the minutes.
"Everyone wants to play more, but for us it is important that when they play, they play well."
They will face a Celta side currently resting just above the drop zone on 16 points - one clear of trouble.
Luis Enrique's side have won only four games this season and could find themselves in the bottom three come kick-off.