The Frenchman backed Keegan after Eyal Berkovic's comments at the weekend but has contradicted that with his latest outburst.
Anelka said: "With Keegan, we get on well. That is all. But I have not made any progress. I feel better than I was at Arsenal. But I was already like that when I arrived at City.
"I have no reason to envy the so-called best strikers in England. I am simply not in a team that allows me to shine.
"I was 19 at Arsenal and you saw what I did there. I want to be at a great club, to turn out with great players in England or elsewhere.
He added: "I want the place of a real striker. At City, I am more of a midfielder. Someone like Van Nistelrooy always has two or three balls in the box that he can put in the net with the side of his foot.
"I have to make my goals for myself. I get the ball and set off with it from deep."
Anelka made matters worse when expressing his opinion on the Louis Saha transfer saga.
"Manchester United are the best club in the world and if he wants to become a better player then really he has to take this opportunity," he said.
"Opportunities like this come around only once in a player's career. I don't think it is about the money for him."
Anelka added: "When I was at Arsenal, I had done well for them. When the chance came to go to Real Madrid, I felt at the time that I had to go.
"People said a lot of things about me. But there are not many players who would not accept an invitation to play for Real Madrid."