The Italian told the Sun on Sunday: "We had sounded him out but Gerrard's bond with Liverpool was unbreakable.
"I don't remember exactly what year it was but we did try. Of course, I wanted to pair him up with [Andrea] Pirlo, it was a fantastic combination. Putting Gerrard in midfield with Pirlo. It would have been fantastic."
Ancelotti had an eight-year spell in charge of Milan before moving to Chelsea in 2009, during which he managed them in two Champions League finals against Liverpool.