The Argentina winger has been linked with a switch to Monaco and Manchester United in recent months, but the Italian has stated that his player will not be leaving in January.
"He is happy here and he will not leave Real Madrid," Ancelotti told reporters.
"He told me he felt discomfort [against Olimpic de Xativa] so I told the others to warm up and, after that, I introduced Karim Benzema. He has not spoken to me about his future."
Di Maria reacted angrily to be being brought off in their goalless draw with Xativa on Saturday evening.