The Italian emerged as a frontrunner for the position at the start of the week and it was even reported that Chelsea were in talks with Ancelotti's advisors about the possibility of him taking charge at Stamford Bridge.
"It's true that Chelsea were interested in Ancelotti, I knew it too," said Galliani. "But in the end Ancelotti said no.
"Peter Kenyon spoke to me and has reiterated that as long as Milan will not let Ancelotti go, they will not take any action. They are very correct and we maintain a good rapport.
"Chelsea will announce their new coach soon but no, I will not tell you if he is Italian."