The six-time Ballon d'Or winner ended his 21-year association with Barca on Tuesday by penning an initial two-year deal at Paris Saint-Germain with the option of a third.
Messi looked set to sign a new contract with Barca, but the cash-strapped club were unable to fulfil the agreement in place with their greatest ever player.
It means there is a massive void in the Blaugrana's team, given he directly contributed to 39 goals in LaLiga last season – scoring 30 and setting up a further nine.
Antoine Griezmann was the only other player to reach double figures for goal involvements (20), with Ousmane Dembele next on the list with nine.
In will be the first season since 2003-04 that Barca have been unable to call upon Messi, and Ancelotti – set to begin his second spell in charge of Madrid – acknowledged it caught him off guard.
"I'm surprised, shocked," he told reporters ahead of Saturday's LaLiga opener against Deportivo Alaves.
"He was always Barca's emblem really, since he was a child. But I've been in this game 40 years, I've seen lots of players change allegiances. I fully respect his decision and Barcelona's decision."
Nevertheless, he does not think the loss of Messi will impact Barca dramatically.
"I'm pretty sure Barca will still be a rival, and Atletico," he continued. "Barca even without Messi is still one of the biggest clubs in the world, I don't think much will change."
Messi's new PSG team-mate Mbappe was also a hot topic of conversation on Friday.
The France international is now in the final year of his contract and has been strongly linked with a move to Madrid for a while, though PSG president Nasser Al-Khelaifi feels Mbappe now has no excuse not to renew his deal following the arrival of Messi.
Ancelotti was reluctant to speak about Mbappe, even as reporters persistently pressed him on Madrid's apparent interest.
"I'm not keen on talking about players who aren't part of my squad," he told them. "I'm happy with the squad, I've a good mix of veterans and good up-and-coming players.
"I've seen some good young players training, players for the future but who could also be important now, like [Antonio] Blanco, Miguel [Gutierrez], [Marvin] De La Fuente, [Victor] Chust.
"Then there's veterans like Casemiro, Luka Modric... Casemiro's improved a lot since I was last here.
"So, I don't think it's right for me to talk about players who aren't at this club. I'm a football fan and happy to see these players here, seeing them training and working day in, day out.
"I still have a great relationship with the PSG owner, I was of course a coach there, I worked at a fantastic club and had a great working relationship with him, but I don't know what he's thinking [regarding Mbappe's future]."
Another forward Madrid have been linked with is Everton's Richarlison, who Ancelotti coached while at Goodison Park, and the Italian was a little more forthcoming about his opinion on the Brazil attacker.
"I'm really fond of him," he said. "He's an Everton footballer and I don't like to talk about players who play for other clubs, but of course I'm really fond of him."