Madrid's win came after two consecutive defeats against rivals Barcelona and Sevilla, leading to supporters expressing their anger as the La Liga title race heats up.
The fans jeered a number of players, including Cristiano Ronaldo, which frustrated Ancelotti, who admits that he doesn't understand the reaction.
"I have said many times I understand when the crowd whistled us because we had deserved it. But not at the moment," Ancelotti told reporters.
"It is true we haven't performed at our best in the last two games, however I think overall the players are doing a great effort.
"We have to carry on and we need everyone's help. And then to whistle Cristiano Ronaldo is not that understandable."
Real sit in third place in La Liga, three points behind city rivals and league leaders Atletico Madrid.