Los Blancos will take a 1-0 lead into the second leg following the clash in Madrid last week, but Ancelotti has insisted that his side will not rest on their laurels.
"Tomorrow's match will be very difficult and complicated. We play against a great team. We just have a small advantage," he told reporters at a press conference.
"We are not stupid to think that we have already won. This will be a very tough encounter."
Ancelotti has already led Madrid to the Copa del Rey title this season.