The Italian was sacked as Chelsea boss on the final day of the season after two years in charge at Stamford Bridge.
He has since been linked with Roma, but cooled talk of a return to Italy. The 51-year-old said: "I have not had contact with the club, I still have to resolve my contract with Chelsea.
"My intention is to remain in England. I have spent two beautiful years here, I have felt really well and I want to remain here.
"I am in no hurry to find an immediate solution. Since 1995 up to now, I've only had a minor break, because I've always coached.
"Therefore, this would be an opportunity to update myself, see new things, and face new challenges with a different experience.
"For example, I will soon go to St Petersburg to see (compatriot and Zenit coach Luciano) Spalletti."
Ancelotti led Chelsea to the Double in his first season in charge but was dismissed after they finished runners up to Manchester United in the Premier League this term.
