The Italian coach has won the European Cup and Copa del Rey with Real Madrid but is yet to win La Liga at the Bernabeu.
The deposed European champions have fallen short in the league during both of the Italian's seasons in charge, finishing third last term and second this time out.
And, after watching Barcelona pip them to the post thanks to a victory over Atletico Madrid on Sunday, the former AC Milan boss' resolve has only been strengthened, despite speculation over his future beyond this summer.
"I would like to win the most important competition, which is the Champions League," he said at a press conference
"However, I would also like to win La Liga. This year we came very close and we will try again next year."
Madrid were knocked out of Europe by Juventus in midweek and Ancelotti says he found it hard to lift his troops for the trip to Cornella El-Prat, which was decided by Cristiano Ronaldo's hat-trick and a strike from Marcelo.
Ancelotti added: "The team reacted well and had a very good attitude. It was not easy to motivate the players after Wednesday and I am grateful. Cristiano Ronaldo enjoyed good work in this game.
"Now we have to prepare professionally for the last game right up until the last minute. We have to keep our heads held high, although the team has not won, they have battled.
"The overall assessment of the season is not positive because Real Madrid play to win and we haven't managed it.
"We had a good first half to the season but the second half was more difficult. I have to congratulate Barcelona and my fellow coach Luis Enrique."
Ancelotti also singled out midfielder Luka Modric's long-term injuries as the reason for his side's failures in the league this term.
"We have been hurt by injuries, especially Modric," he said.
"The team played well with James, Isco and Toni Kroos and have had a lot of victories with that system but Modric has missed practically all of the season and that has hurt us."

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