The capital outfit have won all seven of their matches since the turn of the year, with that run of for moving them to within one point of top position in La Liga.
Meanwhile, they enter the second leg of their Copa del Rey quarter-final against Espanyol on Tuesday with a 1-0 lead from the first leg.
"We have to close a great January with a good game against Espanyol. We have a small advantage, but it is an open tie and we need to prepare well and play it well, with the best possible team to reach the semi-finals," Ancelotti told reporters at a press conference.
"The month was very good. January helped us cut points in the league, to have more confidence in the team. The month was very good and we have to close it well tomorrow against Espanyol.
"Winning the Copa del Rey is not enough for us. We want to win as many titles as possible. We are in a great physical shape at the moment, but we have to be careful because we are playing a lot of games."
Madrid are also in the last 16 of the Champions League.