The attacking midfielder was one of Madrid's best players last term as Los Blancos won a Champions League and Copa del Rey double.
However, he was sold to United this summer for a figure in the region of £60m.
"Di Maria demanded a lot of money and preferred to leave in order to earn more elsewhere. The club simply couldn't give him the money he wanted," Ancelotti told Cadena Cope.
"There are times when a club has to say no. You cannot change the club's policy for just one player."
Di Maria has scored three goals and registered three assists in his first five Premier League games for United.