Ancelotti labels Champions League final the most 'dangerous' game
The Italian, who has won the competition as a coach a record four times, said Los Blancos were afraid the trophy could escape them.
Madrid, record 14-time winners, are firm favourites for the clash against the Bundesliga side.
"A Champions League final is the most important game but also the most dangerous," Ancelotti told a news conference Friday.
"We have to enjoy being here, but knowing it can go wrong because we are close to the most important thing in football - winning a CL - but having the fear this can escape us.
"Things have to go very well, you need to be lucky too, success is very close and so the worry begins tomorrow morning, tomorrow afternoon."
Real Madrid captain Nacho said he was feeling confident but nervous.
"We've got more nerves than in any other moment of the season," admitted Madrid captain Nacho.
"We're humans, it's a calm week for (some people) but for the players it's not. It's special, and that makes it not calm."
The coach confirmed goalkeeper Thibaut Courtois would start the final ahead of Andriy Lunin, resolving the main selection query ahead of the game.
"Lunin had the flu and hasn't travelled with the team, tomorrow he will travel and will be on the bench - Courtois will play tomorrow," said Ancelotti.
Courtois returned from a long-term knee injury earlier in May and has kept four clean sheets in four appearances since.
