Chelsea boss Ancelotti: Arnesen important here
The Dane is responsible for the academy at the club and in the wake of FIFA's transfer ban for inducing youngster Gael Kakuta to breach his contract with Lens two years ago, his position is expected to come under further scrutiny.
But Ancelotti said: "The role of Frank Arnesen is sporting director and he is working very close with me.
"I have a good relationship with him and we want to do the best for the club.
"Peter Kenyon did a very good job but I didn't know him very well. I spoke with him in the period that I've been here but he leaves a fantastic team and club and he worked very well for Chelsea."