Ancelotti was sacked by Abramovich at the end of last season.
"I didn't speak to Roman at all. It was nothing special. I know that my life is like this, that sometimes you can be sacked," Ancelotti told the Telegraph. "In Italy we say that if one door opens you can find a bigger day. PSG could be a bigger door, but I don't know. I've only been here a month.
"There is no reason for us to speak. He took a decision. I respect his decision. Now everything is finished. At the end I have to say thanks to Chelsea for giving me the opportunity to stay in England for two years."