"It's a concern and it might be out of my hands at times - but at the moment it is only speculation," said Lee. "We want to keep our better players - but as I've said before, if people want to go then sometimes you can't stop them."
Anelka has played for seven clubs during a nomadic career - while Diouf left Liverpool under a cloud three years ago.
Lee hinted at the striking duo's track record when he said: "I certainly don't want them to go - and as has been mentioned before, certain people have had 'previous' at being at football clubs about wanting to leave.
"It's not just Bolton Wanderers - there is a trend - but obviously we'd like to keep our best players."