Ancelotti has not committed himself beyond the end of this season, but denies he's held talks with Real.
"I am honoured of the work I do here and it is normal," he said at a press conference.
"A coach has a great responsibility. I'm not talking about Real Madrid, why would I have to talk about it? I have not spoken with Madrid, journalists talk about Madrid."
On PSG, he added: "I like the players and the staff. When you win it means that the relationship was good. We had hard times but it is a good test to understand if a group is strong in character."