Reports said Ancelotti might try to bring Pirlo to the Stamford Bridge in the close season.

However, the 30-year-old said he was happy to stay at Milan and play under Leonardo, who was the team's technical director before being named the new coach.

"I am well at Milan," Pirlo told Sky Italia on Wednesday.

"Everyone was sorry to see Ancelotti leave, but now's it's time for a new experience.

"Leonardo is a great person. Now he'll have to do the same as a trainer. We hope he turns out to be just as great."

Pirlo has been an indispensible member of Milan squad since joining the club in 2001.

The World Cup winner flourished under the guidance of Ancelotti to help Milan win two Champions League titles and one Serie A crown.