Speaking ahead of Sunday's home clash against Athletic Bilbao, Ancelotti revealed that his side were working hard on their defending from dead-ball situations.
The European champions needed a 77th-minute strike from Karim Benzema to seal a 2-1 come-from-behind win at Bulgaria's Ludogorets in the UEFA Champions League on Wednesday.
Real conceded from a set-piece on that occasion, also, and Ancelotti is sure that Bilbao will try and exploit their problem at Santiago Bernabeu.
"Of course we are concerned," Ancelotti is quoted as telling AS.
"And more so because we're playing [Ernesto] Valverde's team.
"We're working to fix it. Madrid though aren't the only team who concede from set-pieces. It happens to Barcelona too.
"We're working on it. Also, we have scored a lot of goals from set-pieces too."
Real sit fifth in La Liga but have won their last three matches – scoring 15 goals in the process.
