"One lives in Miami and the other one stayed in Madrid," Anelka told the Daily Mail.
"But when I had to leave Paris Saint Germain and move to Arsenal, I made the decision.
"It was the same when I left Arsenal. You can ask Arsene Wenger. He came to me and asked me if I wanted to go to Real Madrid. I said I did. And my brothers were not there. Real Madrid was the biggest club in the world at the time and I wanted to move there.
"And yet one year later Petit and Overmars went to Barcelona and nothing like that happened to them. And remember, Arsenal bought me for £500,000 and sold me for £23m. I don't think I did anything wrong.'
Anelka insists his brothers have only ever acted on his wishes. But at 29, which he was yesterday, he now accepts it might not have been wise to move on.
"At that age you have nothing in your life to measure it against and you don't think so much about the future.
"It wasn't my intention to play for eight clubs in 10 years. I didn't want to move again and again and there were times when I wanted to stay where I was. Had Liverpool wanted to sign me on a permanent deal I think I would still be there."