Lampard, 36, has signed a two-year deal with New York City but needs to maintain fitness before the club's maiden MLS season at the start of 2015.
The Chelsea great was linked with a move to Melbourne City, where Spain's all-time leading goalscorer and fellow New York signing David Villa is heading on loan.
With a decision on his immediate future imminent, reports in the United Kingdom have suggested Lampard is heading to Manchester City on loan.
Former Chelsea manager Ancelotti, in the United States with Real, said that would come as a shock to him.
"I didn't know this, I'm really surprised because I thought that he was coming here in the USA to play," the Italian said.
"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."
