The big-spending French side, who will play in the Champions League after finishing second in Ligue 1, had been linked with a bid for the England left-back as they seek to make a statement to the top clubs in England, Spain and Italy.
But Ancelotti, who sealed a sensational double swoop for Milan duo Zlatan Ibrahimovic and Thiago Silva earlier this summer, insisted he would not be looking to add to his squad.
"The transfer window is over for us," Ancelotti told Abola. "The club did a good job.
“All the news from England (about Cole) are just rumours."