Anelka is being linked with a January move to China.
"It is so difficult. We actually asked about Anelka," a Shanghai Shenhua official told newspaper DF Daily.
"We also know he could leave the Blues as a Bosman player next summer but there are so many clubs interested in him.
"AC Milan, Russian clubs and some Gulf clubs. If we want to sign him finally, [his contract] would cost plenty."