The France coach feels sympathy for the forward, but could leave Anelka out of his European Championship plans, if he believes the spot-kick miss has affected the 29-year-old.
"It is something I have to think hard about," Domenech told reporters at France's training headquarters at Clairefontaine.
"It's embarrassing for the person who misses. Furthermore, he is France and part of the French team.
"I certainly felt for him. Nicolas was put in the position where he had to save the team because Ryan Giggs had scored his penalty."