The European Champions were beaten 1-0 in the Vicente Calderon on Friday evening as they fell to a 2-1 aggregate loss.
"In the second half we lost control of the game," Ancelotti told reporters. "We needed more possession like in the first half of the game. Afterwards, we gave more opportunities to Atletico.
"We haven't spoken about winning six titles. We've spoken about being the best candidate for titles, but not about winning six.
"We didn't play well this game, but it's better to lose this match than [the Champions League final] in Lisbon."
Madrid will start their La Liga campaign against Cordoba on Saturday.