The Ballon d'Or-winning striker, who turns 35 in December, has suffered from thigh injuries this season and missed most of the club's matches in September.
"We are not thinking about the winter window, we are not interested in it," Ancelotti told a news conference on Saturday, ahead of Real Madrid's clash with Girona on Sunday.
"This is the squad which will continue until the end of the season and it will not change."
The coach said Benzema will not face Girona despite training on Friday, while Rodrygo was a doubt after feeling unwell overnight but was included in the squad, unlike his strike partner.
Benzema missed the win over Sevilla last weekend and the Champions League loss at RB Leipzig with muscular fatigue in his quadriceps, but had been expected to return to face Girona.
"After training he did not feel comfortable, he did a test, there's no problem but we have to take into account how he feels," said Ancelotti.
"There are clinical tests, that say there's no problem, but after that there's how the player feels, and he says he's not 100 percent."
Benzema is set to lead France into the 2022 World Cup in November, providing his injury issues clear up.
Luka Modric, Fede Valverde, Dani Ceballos and Mariano returned to the league leaders' squad list for the game after various injury problems.
Madrid suffered their first defeat of the season across all competitions against Leipzig on Tuesday, but had already qualified for the Champions League last 16.
Goalkeeper Thibaut Courtois criticised the team after the game, saying they went out "asleep" against the Bundesliga side.
"What Thibaut said was not ferocious, it was fair," said Ancelotti.
"Now we don't have to think too much about what happened in Leipzig, it's over, we saw it, and now we will correct it."
Second-placed Barcelona can pull level on points with Real Madrid at the top of the table if they win at Valencia on Saturday.