The Italian has enjoyed 18 months in charge at City winning an FA Cup and qualifying for the champions League.
"In reality, I have not said no to Juve simply because I have never been approached by them," Mancini told Studio Sport XXL.
"I want to remain at City to build a group. It would be stupid to have to start over somewhere else.
"For the same reason, Abramovich would make a huge mistake to part with Ancelotti.
"He is one of the best coaches in the world.