Cavani, 31, has been linked with Real Madrid and Chelsea over the last week, while it had been reported that Napoli wanted to re-sign the centre-forward from Paris Saint-Germain.
However, Ancelotti has said that he is "not interested in players from the other teams" as he prepares his squad for the 2018-19 campaign.
"They are rumours that come from every market. Then we get ready for January. But I have fantastic players and I'm lucky enough to train them, so I'm not interested in players from the other teams," Ancelotti told reporters.
Cavani has scored 170 times in 246 appearances for PSG in all competitions since a 2013 move from Napoli.