The 25-year-old Frenchman was caught on TV cameras using offensive remarks to the referee for being booked for dissent during PSG's 3-0 home win against Nice in Ligue 1 on Sunday.
When asked if he was angry with Menez's action, Ancelotti told reporters: "Yes, a little. He took the risk of getting a red card by speaking with the referee.
"I don't know what he said to him, but it's not a good thing to speak with the referee because he's doing his job and Jeremy has to do his without talking."
Menez scored the opening goal for PSG on Sunday.