Athletic forward Raul Garcia has criticised the competition being played overseas, saying it "doesn't make sense."
"No. Why?" Ancelotti said in a news conference on Saturday, when asked if he was uncomfortable with Saudi Arabia as a venue. "We had a good atmosphere in the Clasico, a lot of Real Madrid fans were there, and a lot of Barcelona fans."
It's the second time the Supercopa has been hosted in Saudi Arabia in its new "final four" format, after Real Madrid won the 2020 edition in Jeddah.
"We know it's important for the federation, to help [support] the lower leagues of Spanish football," Ancelotti said. "It's fine."
Madrid led Barca twice in Wednesday's semifinal with goals from Vinicius Junior and Karim Benzema but were pegged back each time by Luuk de Jong and Ansu Fati before Federico Valverde's 98th-minute winner.
Ancelotti praised the job done by opposition coach Marcelino Garcia Toral, who won last year's Supercopa, beating Barcelona in the final.
"He is a good coach. Bilbao are playing well," the Italian said. "Every game against his teams is difficult. He controls the small details well. They are always well organised. The [semifinal] against Atletico Madrid showed that they are a team that never gives up."
The news conference also saw Ancelotti defend his own team's counterattacking style against critics who would prefer a possession-based approach.
"If someone wants to keep possession and that seems the easiest way for them to show an identity, that is respectable," he said. "The perfect system or game doesn't exist
"I am delighted that you can say that Real Madrid play on the counter, because it isn't straightforward. You need players to play the pass and forwards to attack at the right time.
"The counterattack against Barca [for Vinicius' goal] was four or five passes. For the third goal, we had six players in their box. That's a good counterattack."
Goalkeeper Thibaut Courtois also defended Madrid's style in a news conference on Saturday. He said: "We aren't a counterattacking team. We're a team that does everything. When we need to have possession, we do it. When we have to defend more, we do it. It depends on the opponent. There are games when we play out from the back to try to draw teams on to us, and then there are games like the other day.
"When you are winning, it's normal that you defend more, and if you have quality and pace up front like Vini, Rodrygo, [Marco] Asensio, Karim [Benzema], it's normal that on the counter you can hurt teams.
But if we play like that for one game and people say that's how we play, they're wrong. Every game has its strengths. We attack when we have to attack and defend when we have to defend."