Spanish late-night TV show El Chiringuito had claimed on Monday night that a sensational return for the forward was on the cards, three years after he signed for Juventus.
"Cristiano is a Real Madrid legend and has all my affection and respect," Ancelotti tweeted on Tuesday. "I've never considered signing him. We look forward."
Ronaldo joined Juventus for €100 million in July 2018 after spending nine years at the Bernabeu, where he scored 451 goals -- the most of any player in Real Madrid's history -- and won four Champions Leagues.
Cristiano es una leyenda del Real Madrid y tiene todo mi cariño y respeto. Nunca me he planteado ficharle. Miramos hacia adelante. #HalaMadrid— Carlo Ancelotti (@MrAncelotti) August 17, 2021
That led to speculation that Ronaldo and agent Jorge Mendes could try to force a move this summer, despite the player having a year left on his contract.
El Chiringuito contributor Edu Aguirre, who is a friend of Ronaldo, said on Monday that "Carlo Ancelotti wants Cristiano Ronaldo at Real Madrid. ... Ancelotti is insisting. He spoke to his people. The relationship with Cristiano is marvellous. He wants him back.
"The option is there. Ancelotti started everything. It could happen or not. There are various options."
Ronaldo said on Instagram on Tuesday: "Anyone who knows me is aware of how focused I am on my work. Less talk and more action, this has been my guiding motto since the start of my career. However, in view of everything that's been said and written recently, I have to set out my position.
"More than the disrespect for me as a man and as a player, the frivolous way that my future is covered in the media is disrespectful to all the clubs involved in these rumours, as well as to their players and staff. My story at Real Madrid has been written. It's been recorded. In words and numbers, in trophies and titles, in records and in headlines. It's in the Museum at the Bernabeu Stadium and it's also in the minds of every fan of the club.
"And beyond what I achieved I remember that in those nine years I had a relationship of deep affection and respect for "merengue aficion", an affection and respect that I retain to this day, and that I will always cherish. I know that the true Real Madrid fans will continue to have me in their hearts, and I will have them in mine."
That possibility appears to have been ruled out after Ancelotti's tweet, a rare move by the coach to comment on transfer speculation.
In April, Real Madrid president Florentino Perez also appeared to rule out a return for the Portugal international. "No, he has a contract at Juventus," he told El Chiringuito. "It wouldn't make sense for him to come back."
Ancelotti worked with Ronaldo for two seasons during his first stint as Real Madrid manager.
In that time they won the club's long-awaited 10th European Cup -- beating rivals Atletico Madrid 4-1 after extra time in the 2014 Champions League final, with Ronaldo scoring a late penalty -- before Ancelotti was sacked in 2015.
The Italian was reappointed by Madrid in June on a three-year contract after the resignation of predecessor Zinedine Zidane.
Madrid, who have added only the free transfer signing of David Alaba to their squad this summer, began the 2021-22 LaLiga season with a 4-1 win away at Alaves on Saturday, with Karim Benzema scoring twice.