The Premier League club were reported to be lining up Burdisso, 29, as a replacement for Ricardo Carvalho, who moved to Real Madrid two weeks ago.
However, Ancelotti claims he has no intention of signing Argentina international Burdisso, or any other centre-back
"Burdisso at Chelsea? It's not true," Ancelotti told Corriere dello Sport. "We have three defenders at the highest level."
Burdisso has also been linked with a move to Juventus after spending the majority of last season on loan at Roma. His agent Fernando Hidalgo also dismissed a possible move to Chelsea and said his client would prefer to return to Rome.
"Chelsea's offer for Burdisso? No, I have received no proposal from the management of the London club about Burdisso," Hidalgo said. "We will do everything to bring back Nicolas to Roma and we will try to reach an agreement for as long as we have opportunity and time to do it."