"This loss really burns, first of all because it was undeserved and secondly as we were penalised by the referee. One more readily accepts defeat if it is deserved," said Ancelotti, who was upset with Palermo's equaliser scored after Amauri appeared to handle the ball.
"A player who jumps like that is extremely likely to get the ball with his arm. It was a serious error from the referee, like missing an open goal. Our last two away games were affected by such mistakes, as at Siena we conceded when Massimo Maccarone was clearly offside."
He added: "We scored goals, created many chances and hit the woodwork twice. Perhaps the only thing we were lacking was a bit of sharpness, but we could not have put any more effort in.
"Now we must roll up our sleeves and try to be more careful, but I hope the referees are too. Milan's victory was earned here and quite clearly, too."
Palermo boss Stefano Colantuono shrugged off the controversial incident involving Amauri on Aimo Diana's equaliser.
"I think he got it with his shoulder. I don't want to say a heresy here, but I don't believe the slow-motion replays clarify the situation," he insisted.
"It is a dubious goal, but the judgement of others is possibly more objective than mine. I will say that we played for this result until the final whistle and deserved the victory. Despite the fact Milan played very well, we were never beaten and didn't sit back in defence.
"It is no coincidence that the winning goal came from a free kick at the 93rd minute earned by Diana - a full-back. That is not defensive behaviour."