The 33-year old former Chelsea striker is being linked with a London return with QPR and West Ham United showing interest but he insists that he will see out his current deal with Shanghai before retiring from the game.
"I won't go back to the Premier League. If one day I leave Shenhua, it will be the day I retire," Anelka told Oriental Sports Daily.
"I will never go back, although I had a good time there. But now I'm in Shenhua and this is my own decision."
And despite Shenhua sitting 13th in the 16-team CSL, Anelka is confident they can lift themselves up the table before the end of the season.
"Although we're now at the bottom of the league, the gap with other teams is not big and we can climb up after even winning two games," he added.
"I am not worried about relegation. I only think if we can have a better ranking."