Goal understands Chelsea have maintained an interest in Khedira, whom Mourinho coached at the Bernabeu.
But Ancelotti has reiterated the 27-year-old is under contract until the end of the upcoming season and will stay with the club for the time being.
"He's not leaving, he's a Real Madrid player," Ancelotti told reporters. "He has a contract until June 30, 2015 and that's all there is to say."
Los Blancos risk losing Khedira on a free transfer if he fails to agree a new deal with the European champions during the 2014-15 campaign, with reports suggesting that contract talks have stalled.
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