The Argentina international brought a four-year stay at Santiago Bernabeu to an end over the summer when completing a British record £59.7million transfer to Manchester United.
Real were reluctant to part with one of their most creative influences, but refused to bow to his salary requests.
Experienced performers such as Xabi Alonso and Diego Lopez were also moved out, to Bayern Munich and AC Milan respectively, and Ancelotti insists all of the sales sanctioned made sense for the players and club.
He told Cadena COPE: "Di Maria? I was in agreement with the club. There are times when the club needs to say no. You can't change the policies of the club for one player.
"Di Maria asked for a lot of money and preferred to leave to go find it. The club couldn't give him the money he wanted. They say that I'm the manager of the club; of course, I coach for the club, not for the players.
"Xabi is different because he asked to leave. He was a little tired and because of the respect we have for him, we let him leave because we had good options with (Toni) Kroos and James (Rodriguez). He didn't betray us.
"Diego Lopez left to find another great club with less competition. He left because he preferred to leave, no one ever asked for him to leave."
Another of those to have been linked with an imminent exit is long-serving goalkeeper Iker Casillas, but Ancelotti says the World Cup winner remains an important part of his plans despite criticism from the stands.
He added: "Casillas is playing because I play whoever I think will give Madrid the best chance of winning. He's a worthy player to play in goal for Real Madrid.
"In regards to the whistles, I don't know. I think a player can be whistled at if he isn't doing well, it happened last year when we weren't playing well. Whistling just to whistle isn't good, the bond between the fans and the club is important for the club."
As mentioned by Ancelotti, there were also arrivals at Real in the recent transfer window, with the Italian insisting that James Rodriguez was a player he wanted and is one who will provide a return on his £63.3m price tag.
He said: "He's worth it. When you pay that much it's because the club asks you to.
"I've been lucky enough to have very intelligent presidents, who aren't just football fans, they are captains of industry and are smart enough to not ask a coach to play one player or another. If a president asked me to play a certain player, I'd have to leave."
