After Vinicius Jr and Federico Valverde scored on either side of halftime, Real wasted several chances to extend the lead and Al Ahly got a lifeline when they earned a penalty which was converted by Ali Maaloul.
"When we were leading 2-0 (early in the second half), we thought that the game was over and started to dribble a little too much," Ancelotti told a news conference on Wednesday.
"This is a tournament that Real Madrid have a lot to lose and nothing to win," the Italian added.
"We thought that the game was won 2-0 and things are not like that, we have relaxed and it cannot be like that."
Afsha missed a sitter that would have been the equaliser for Al Ahly, giving the Spanish giants a real scare.
"We have not won easily but we have won quite well," Ancelotti said.
"You have to play well and concentrate until the end of the match. We went through a few tough minutes until Modric's penalty..."
Real face Saudi Arabia's Al Hilal in the final in Rabat on Saturday after they shocked South American champions Flamengo 3-2 in the first semi-final.
Ancelotti confirmed that forward Karim Benzema and defender Eder Militao, who stayed behind in Madrid for treatment of their injuries, will join the team on Thursday and could be available for the final.
"Neither are fully recovered. Karim (Benzema) is quite well but with Militao that are more doubts," Ancelotti said.
"On Friday we will make the decisions. (Dani) Carvajal missed today's match due to a fever and (Marco) Asensio due to a little overload, I think they will be ready for Al Hilal."