Madrid were beaten for the second game running as they lost 3-1 at home to the Italian side on Tuesday (05.11.24) and Ancelotti is concerned with his team's displays that has seen them slip off the pace both domestically and in Europe this season.
The coach told Movistar: "We should be worried because the team isn't playing well. We have to be more solid, more compact. We've conceded a lot of goals."
Ancelotti added in his post-match press conference: "It isn't about being patient or not, the reality is what you see on the pitch, which is that we're missing something. Worry in these moments is normal. It will be a long night, but that's what we have to do, think, all of us, about improving things.
"We've conceded nine goals [in three games] and that's too many for a team which built its strength on solidity."
Madrid's underwhelming start has raised questions about the high-profile addition of Kylian Mbappe to the team but Ancelotti says the final third isn't the problem for his team.
He said: "We had a lot of chances. The problem for me isn't that. Probably we lacked being clinical, but the main problem we have to fix is how easily our opponents are creating opportunities.
"When you aren't solid, you have to be more organised. You can't say my players are lazy, but right now we aren't able to work together effectively."
The manager also denied that Mbappe joining has had a destabilising impact on the Madrid dressing room.
Ancelotti said: "No, the dressing room is healthy. There'll be a lot of criticism, about our attitude, training... What critics think, we have to accept. We aren't doing well. We want to do better. Like this it's hard to get to the end of the season."