"It is always difficult to say with Nicolas, he's such a hard person to read," said Davies, who played alongside Anelka during his spell at the Reebok Stadium before his move to Chelsea.
"You never quite know what's going through his mind.
"There seems to be something not quite right with him and Didier Drogba. I'm not sure they get on very well."
Davies told the Bolton News: "There doesn't seem to be a great bond when they play together, whereas Nicolas lights up when he plays on his own.
"You can't deny he's a great player capable of making something out of anything - but at the moment, you feel he's just not that happy."