Manchester United's draw against Blackburn over the weekend means the Blues have the chance to establish a four-point lead at the top of the table.
"Every game we need to do our best because every game will be difficult," said Ancelotti, whose side qualified for the FA Cup final by beating Aston Villa on Saturday while Bolton enjoyed a blank weekend.
"Bolton will not be an easy game because they didn't play on Saturday. They will come to Stamford Bridge fresh.
"They can do a game with high tempo, so we have to pay attention. Bolton is one of the most important games of our season.
"Now is not the moment to think 'If we win the double' or not. The most important thing is to stay focused game by game. Our minds are focused on the Bolton game. Nothing else.
"We don't want to think about what might happen in a month. We have to wait, stay calm and focused. And, tomorrow, we have to improve our position and send United four points away. That's the most important thing.
"Maybe, if we are able to do this tomorrow, it could be a very important step towards winning the title."