PSG have recruited a number of players so far this summer, including Zlatan Ibrahimovic, Thiago Silva and Ezequiel Lavezzi.
The French outfit are also thought to be interested in England international left-back Cole, whom Ancelotti managed during his time at Stamford Bridge.
However, Ancelotti had earlier dismissed these reports and following PSG's pre-season friendly game against Barcelona on Saturday, once more rejected the rumours.
"Our transfer window is over, and Ashley Cole will not come," the Italian told BeIn Sport.
PSG lost their match against Barcelona 4-1 on penalties after coming from 2-0 down to draw 2-2 in normal time.