The Champions League and Europa League winners will meet next week in Warsaw.
Ancelotti said, "It's going to be tough as always because it's the beginning of the season. But we are going there with every confidence and conviction, while bearing in mind all the challenges. I believe Atalanta deserve to be there because they played an amazing Europa League campaign, knocking out top teams like Liverpool. They were able to win those kinds of games easily, even the final. So, we respect this team a lot. But we hope to be on our best form.
"I don't think anyone expected (Atalanta to beat Leverkusen so comfortably in the Europa League final). As I said, Atalanta had an amazing season. They're a very dangerous team that plays in a special and unique way. Bayer Leverkusen weren't able to play in the way they were used to playing, because of the huge effort the Atalanta players put in."
On Atalanta boss Gian Piero Gasperini, he also said: "We have a great relationship. We are friends. Our relationship started at Juventus (when Gasperini led the youth team while Ancelotti was first-team boss).
"(Atalanta are) consistently playing in Europe thanks to Gasperini and, since he arrived, they're doing very well in Italy too. Some excellent and important players have emerged from the team. So, he has done an amazing job, and he continues to do so."
On the arrival of Kylian Mbappé, he added: "First of all, he is going to bring his quality as well as his composure, attitude and dedication. He is going to have to adapt for this team as everyone has had to. We are very happy he is here because he has great qualities and – I'm sure, given his personality – he will adjust quickly. Everybody at Real Madrid is very happy he is here: the fans, the club, the players, the team-mates, the coach. We are all very happy he is here. We're sure he'll do very well."