Ancelotti was axed at the end of last season.
"I thought I could stay longer at Chelsea," he told the Daily Mail. "I hoped to, because I felt really good there.
"I was not happy to leave this club and to leave these people. I had a good relationship with the players. I felt we could go on to enjoy more success. But this is football and I knew this before I went there.
"I want to say thank you, to Roman Abramovich, to the players, to all the people I worked with there.
"The first year was fantastic. The second year was not so good. I am not bitter or angry. Absolutely not. I consider Chelsea a really fantastic club.
"Look, when I was in Milan everything was fantastic but I knew that one day it would come to an end. Even after being a player there. Even after the success I also enjoyed there as a manager. In the end you have to leave.
"I also had other experiences like that in Italy. I had been sacked before. Sometimes it can happen that the owner is not happy and he wants to change things. All the great managers have been sacked. Managers before me at Chelsea were sacked. Fabio Capello was sacked by Madrid after winning the title. Amazing, I know, but this is football.
"Never, however, on my c.v. have I been sacked during the season. That is different. I have only ever been sacked at the end of the season. I am proud of this!"