The 31-year-old former Arsenal forward has not featured in the last three games and was left out of Ancelotti's squad as they continued their perfect start to the season with a fine 2-1 victory at Crystal Palace on Saturday, not travelling to Selhurst Park with the rest of the players.
Questioned on whether he could leave before the transfer window shuts on October 5, Ancelotti said: "I don't think so. The problem is the competition is really high in this moment. Sometimes it can happen that a player, like Theo, is not involved.
"Unfortunately, this is the decision I have to take and I am not absolutely happy to take this kind of decision, to leave out a player like Walcott.
"A player who is professional, serious in training and always ready."