The French ace has been linked with Anzhi and Terek Grozny and admits a move to Russia is attractive.
"My agent will soon sit down with the Chelsea board to discuss a possible transfer," Anelka told Tvoi Den. "I think I will cost around €9 million."
Terek vice-president Haidar Alkhanov confirmed their interest, "We will see what happens in the winter."
Anelka added: "Am I open to a transfer to Russia? Why not?"