Thirteen years later he still calls it the most demoralising game of his career.
Milan were champions of Europe and strong favourites to retain the trophy when they met Deportivo La Coruna in the quarter-final.
They won the first leg 4-1 and travelled to Spain comfortable in the belief that the return match was a formality.
They had beaten Deportivo 4-0 at the Riazor stadium the previous season in the group stage, and this time they reached the last eight without even conceding a goal.
They had firepower in attack with Andrei Shevchenko, Kaka, and Pippo Inzaghi; in midfield the vision of Andrea Pirlo was combined with the ferocity of Gennaro Gattuso.
At the back they had three of the world’s best defenders: Sandro Nesta, Paolo Maldini, and Cafu.
Deportivo were an ageing side that could be politely described as unpredictable. Carlos Valeron pulled the strings in attack, Walter Pandiani, known as ‘El Rifle’, was the sharpshooter, Albert Luque was on the wing.
They just squeezed past Rosenborg in the qualifying round, but later knocked out Juventus.
On their trip to Monaco in the group stage they had scored three times — and conceded eight. It remains a Champions League record.
So does that 4-0 turnround in April 2004, although Partizan Belgrade and Real Madrid managed to do the same in the Uefa Cup back in the 1980s.
The victims were Queen’s Park Rangers and Borussia Monchengladbach.
Miracles do occasionally happen, although the bad news for Barcelona is that no side has recovered from losing an away leg 4-0.
The big question is how they happen and whether Arsenal might possibly repeat that stunning Deportivo result against Ancelotti’s Bayern Munich.
Gary Waddock, who was in midfield for QPR when they lost in Belgrade, offers one clue: “We prepared properly,” he said “but the result shows what can happen if you get off to a bad start in the return leg in European football.”
That April night in Coruna, Deportivo were a goal ahead inside five minutes. They scored from their first attack and they never let up.
Milan’s defence dithered for a second and never seemed able to recover their usual poise.
The usual football cliché in games like this is “you need to be patient”.
However, you also need to get the opposition rattled. Deportivo pressed high and continued to press high throughout the match. The offside statistics tell a story: Milan were caught out eight times, Deportivo not once. It was risky.
Kaka might have equalised from a breakaway early on. But the Deportivo defenders kept their nerve and their shape.
To achieve the impossible also requires a significant slice of luck, and Deportivo had it with Dida.
Milan’s Brazilian goalkeeper made several big saves, but he always had a howler in him and it duly arrived after 34 minutes when he misjudged a cross and allowed Valeron a simple header to make it 2-0.
Relentless attacking then forced a shellshocked Milan to concede the third goal a minute before half-time: and the timing left Ancelotti in two minds about substitutions.
But by that time tactics had gone out of the window. What counted above all was belief.
Deportivo had it, and so did their crowd. The Riazor stadium only holds 35,000 and it was not full but the home support was deafening. It was almost like a religious experience.
Deportivo manager Javier Irureta had pledged before the game that he would do the 80-kilometre pilgrimage to Santiago “on my knees if necessary” and the crowd seemed galvanised.
Their players never stopped running. “They even ran into their dressing toom at half-time as if they were Usain Bolt,” says Pirlo in his autobiography.
The issue for Arsenal and for Arsenal and Arsene Wenger and for the Emirates crowd tonight is whether they can conjure up that sort of belief and energy: win or lose, they are playing for pride.
The signs were not good on Saturday against Liverpool. But then Deportivo had only taken seven points from their previous five league games when they tore Milan apart.