Ancelotti, 50, revealed: "I started as a manager at Reggiana in 1995 and after seven games we were bottom of the Italian Second Division without a single win.
"I really thought I was going to get the sack. Our next game was against Venezia and I knew that it would be the end for me if we lost.
"In Italy, it is normal for a coach to think that every game could be his last when things don't go well.
"The pressure in Italy is much worse than here in England, from the fans, the directors and from the Press.
"Only last week my friend Angelo Gregucci was sacked at Atalanta after four games.
"Fortunately at Reggiana, we won our next game, 3-0 against Venezia, and we went on to win promotion that season."