Davide left Real, along with his father Carlo Ancelotti, at the end of last season and are now working together with the Selecao.
He told Onda Cero: "The move to Brazil was surprising. You can feel that the players are fighting for a bigger goal than just a club. There are a lot of rituals involved, it creates a unique atmosphere and time is limited; everything is more focused. It's a really shocking and wonderful experience.
"I will keep an eye on the players who play here in Spain. We need to be constantly updated. My desire is to return to Real Madrid. I don't need to tell Florentino Pérez about my dream of becoming Real's coach, it's something everyone knows."
Davide has worked with several players during his tenure alongside his father and, when asked who impressed him the most, he did not hesitate: "Toni Kroos was an extraordinary footballer, one of a kind. Working with him was a great privilege.
"He could pursue a career as a coach, but I do not know if that is his intention. He is similar to Xabi Alonso, a player who knew how to transmit ideas, brilliant and very astute. We did not try to persuade him to continue because of the respect we have for him, given that he had already made his decision. I cannot understand why a footballer of his calibre has never won the Ballon d'Or."