However, there was no update from the Italian on the club's summer-long pursuit of Gareth Bale.
Premier League clubs Manchester United, Chelsea and Tottenham have all been linked with Portugal left-back Coentrao, who has not been involved in any of Madrid's opening three Primera Division matches and was said to be keen to leave the Bernabeu.
However, Ancelotti has said the 25-year-old, who cost Madrid a reported 30million euros (£25.6m) when he joined from Benfica in 2011, has told the club he wants to continue.
"Fabio is staying. I understood that he wanted to go, but really it was not the same desire for everyone. Now he's decided to stay and everybody, the club, players and coaching staff, are happy with this decision," the Italian told reporters following Madrid's 3-1 home win over Athletic Bilbao on Sunday.
Regarding other possible comings and goings at Madrid before the transfer deadline, Ancelotti was non-committal.
Madrid are widely expected to confirm the signing of Tottenham star Bale in the next 24 hours but there is still nothing official from either club, while the future of Madrid playmaker Kaka is also the subject of widespread speculation after the Brazil international announced last week he wanted to leave.
Ancelotti said: "I don't really know what is going to happen tomorrow. I cannot say today. Anything could happen, both with regards to players coming in and players going out."
Modric takes plaudits
Madrid made it three Primera Division wins from three with their home triumph over Athletic.
Summer signing Isco continued his good early-season form with a brace while Cristiano Ronaldo netted Madrid's other goal to open his account for the season.
However, while those two players grabbed the goals it was Luka Modric who took the plaudits with a performance that Ancelotti described as "fantastic".
"I think that Modric has played a fantastic match, Isco also, and Cristiano scored which is good for him," he added.
"He didn't have a problem but for a forward to score is always good."
The former Chelsea and Paris Saint-Germain boss added: "It was a good game. We didn't have much intensity to start with but after 15 minutes the team started to play with more rhythm. The first half was good.
"I'm very happy. It's a very good squad and I'm going to work to improve the play. With these players, we will play well. The team is working well and in the last 15 days we've improved."