Ancelotti managed Lampard for two seasons between 2009-2011 when he was in charge at Chelsea, and is a player he knows well.
The Italian admits he was unaware of any potential loan switch for the player from his new club New York City FC, and even hinted that he may have been interested had he known of his situation.
"I didn't know this, I'm really surprised because I thought that he was coming here in the USA to play," Ancelotti is reported as saying in FourFourTwo.
"I think it's a good signing for Manchester City. It's too late [for me to sign him at Real], but I'm really happy for Frank because I have a good memory of him, and good luck."
Lampard is thought to be heading to either Manchester City or Melbourne on a loan move before the MLS season starts up again in 2015. Both City and Melbourne are sister clubs of the New York franchise, who are both owned by City Football group.
The 36-year-old saw his 13-season association with Chelsea come to an end in May, with the club not offering him a new deal.
But his return to England could be fast-tracked through the loan system, as Lampard could also be eyeing further international appearances when the European Championships qualifying stage starts next month.
Moves to the MLS have not favoured England hopefuls in the past, with the likes of Jermaine Defoe missing out on tournament selection due to the lower standard of football in the US.