Milan play the Hungarian national team in a friendly in Budapest on Wednesday and Ancelotti was quizzed on the possibility of signing Gerrard in the summer, but the Italian is not confident of landing Liverpool's captain.
"I think Steven Gerrard is an outstanding player but I doubt that he'd leave Liverpool," Ancelotti told Hungarian sports daily Nemzeti Sport.
"We're eyeing many players but it would be too soon to mention any names before the end of the season."
Ancelotti's future at the San Siro has been called into question of late, with the likes of Chelsea and Real Madrid rumoured to be interested in the Italian manager, but Ancelotti expects to be with Milan next term.
He said: "I think I am going to stay. This is my own and my club's intention too. Although this is still an open question and I can't confirm anything."
With Italian football stuck in England's shadow again this season Ancelotti thinks Serie A is suffering because it does not generate the same kind of money as the Premier League.
He added: "The distance is big especially from the English clubs and I think this is because of the financial differences.
"This is a simple case: if you have more money then you can buy better and competitive players.
"We must find the way which leads the Italian football back to the highest stage where we can be worthy opponents of the English rivals."