Ancelotti was speaking after Higuain netted one of the Spanish giants' goals - shortly after coming on as a half-time substitute - in a 6-0 rout of Bournemouth in their friendly at Dean Court.
Argentina international Higuain has also been linked with Arsenal and Chelsea but Ancelotti has confirmed he wants the 25-year-old to stay at the Bernabeu and that until he hears otherwise he will be treating him as one of his first-team squad.
"Not true, I don't have any news about this," said Ancelotti at the post-match press conference when asked to confirm whether a deal had been agreed with the Italian club.
"I think that now we have to speak about Higuain as a Real Madrid player. He is a fantastic player and a fantastic striker who took one minute to score tonight.
"I spoke to him this week. He is a Real Madrid player and until we have news we have to consider him as a Real Madrid player and I would like him to stay with us.
"He is very important to us and nothing else - it is not my business to judge the price of a player."
Cristiano Ronaldo netted the opening two goals in Ancelotti's first game since replacing Jose Mourinho as boss.
"I think Ronaldo is the most important player in this team because he is the player with the best quality," he said.
"I think we will help him every time to do his best because if he does that every time we have a great opportunity for this season.
"His future is at Real Madrid, there is no question about this."