The Spanish giants begin their European title defence against Celtic in Glasgow on Tuesday. However, they are not considered favourites to lift the crown this time, just like last season where they ended up stunning Paris Saint-Germain, Chelsea, Manchester City and Liverpool en route to a record-extending 14th European Cup.
"It's not a surprise for me not being the odds-on favourite, I think it's a good sign," Ancelotti said in Glasgow on Monday.
"I think that last year we had even less probability in the statistics to win it. And we have an improved team this season. What happened last year will happen again. We are going to compete until the end and, hopefully, we will compete in the final."
While Ancelotti said that he will probably rotate his squad more often to keep players fresh during a packed calendar, he is still worried about the impact the World Cup — that kicks off on November 20 — will have on player as it will be right in the middle of the season.
"Until the World Cup I believe we won't have problems because the players are prepared and motivated. They want to get to the World Cup in good condition," Ancelotti said. "The question is how the players will return after the World Cup. We just don't know because it is a unique situation."
Meanwhile, Vinicius Junior seemed upbeat during training in Glasgow.
The Brazilian forward scored the goal that clinched Real the Champions League title in May, and on Monday the club announced the player had acquired Spanish nationality, allowing Real to register another non-European Union player.
"Our Brazilian player Vinicius Junior took the oath of allegiance to the Spanish Constitution on Friday 2 September, so from that moment he also has Spanish nationality," said a Real Madrid statement.
Under Spanish Liga rules, there are limits on the number of non-EU players a club can register. Vinicius, 22, joined Real Madrid in 2018 from Flamengo and has 14 Brazil caps.