The Italian manager will take over as coach of Brazil's national team from May 26 following the conclusion of Real's La Liga campaign and played down the club not making his departure official.
Ancelotti said: "Madrid will publish a statement when they want to, there's no problem there.
"They'll do it when it's the right time for Real Madrid ... [Brazil] is a big challenge, but until May 26 I'm still Madrid coach. I want to end the final stage of this fantastic adventure well. Out of the respect I have for this club, the fans and players, I'm totally focused."
Los Blancos are set to end the season without a trophy after losing to Barcelona in El Clasico last weekend and Ancelotti explained that his departure from the club was a "mutual decision".
He said: "I couldn't be Real Madrid coach forever.
"[That's] for a lot of reasons, it might be the club needs fresh impetus. They're normal things in life, there's no need for drama ... Maybe it was the time for a change, that's all. It's a mutual decision to end it here."
Ancelotti has won 15 trophies across two spells with Real and says his time with the club has been "unforgettable".
The five-time Champions League winner said: "A thousand thanks to this club. And we'll carry on. I'll always be a Madrid fan. It's the end of an era. Spectacular. I never thought I'd coach Madrid for six years, and now it's happened.
"I always kept in mind that one day it ends. I've had a great time, and I think everyone has, but there comes a time when it ends. Football is like life; something begins and ends.
"I've had a great time. We've won a lot and it will be a memory for life.
"The day I arrived [for the second time], if they told me I'd win 11 titles in four years, I'd sign it with my own blood. It's been an unforgettable time."