Two first half goals for each side tied the contest at the break in Vallecas but Oscar Trejo’s retaken second half penalty sealed a shock win for Rayo on the night.
However, despite the frustration, Ancelotti was in pragmatic mood at full time, as he prepares to pause the season this month.
“We knew they’d play like this, they were more forceful than us in the duels. It’s a bad night, that’s it”, as per reports from Marca.
“Vini has missed two or three attempts that he normally scores. Asensio did well, but it hasn’t been a good game for us.
“We lack freshness, which is normal after so many games. We evaluate this first part of the season and we’ve done well.
“We’re in the Champions League last 16 and doing well in La Liga.”
After facing Cadiz, the majority of Ancelotti’s squad will head off to join up with their national teams in Qatar, before the World Cup kick off on December 20.
La Liga is scheduled to resume on December 31 with Real Madrid facing a trip to Real Valladolid.