Anelka, who started his career at PSG, is training with Ancelotti's side as he continues talks to cancel his contract with Shanghai Shenhua.
The 33-year-old only joined the Chinese side from Chelsea 12 months ago and there have been reports that Anelka could retire.
Ancelotti worked with the forward during his time as Chelsea manager, but does not believe Anelka is considering a playing return to PSG.
"Nicolas was my player and he is my friend nowadays," said Ancelotti.
"He is also a former player of the club, where he was educated.
"But we didn't think about hiring him as he didn't ask us to sign him. If he were to ask? We would think about it but I don't believe he is thinking about that."