Digne, the impressive left-back, is on Chelsea's radar as an alternative to Leicester's Ben Chilwell while Mason Holgate and Richarlison have all been linked with moves when the transfer window opens.
Asked if he envisaged any of top players leaving, Ancelotti said: "No way. At this moment, there are a lot of rumours.
"Lucas Digne is an important player for us, so there is no way that he or anyone else can leave."
Ancelotti also said: "I know Hojbjerg, he's a good player.
"He is playing for Southampton, so I don't want to talk about another Premier League player and that we are playing against soon.
"I can give an opinion about him at the end of the season."