The North-West outfit appointed David Moyes as Ferguson's successor, but the arrangement did not last long as the club opted to part ways with the Scotsman less than 10 months in the job.
There were suggestions that Ancelotti, who left Paris Saint-Germain for Real last year, was approached regarding the role, which has now been handed to Netherlands boss Louis van Gaal.
"No, no," Ancelotti told the Daily Mail. "Not true. When I decided to leave PSG I had the opportunity to come here. I didn't want to stay at PSG."
Ancelotti is preparing his side for Saturday's Champions League final against Atletico Madrid in Lisbon.