City's French striker is currently on holiday in Dubai having failed to get a call for the Euro 2004 squad and during his trip to the United Arab Emirates he has visited local club Al-Wassal.
It was therefore reported that Anelka was discussing his future with the Far East club and was preparing to convert to Islam to ease a move.
But the 24-year-old said: "I want to make a point following the publication in France Football on Tuesday, June 8 of a photograph taken of me in Dubai.
"It claimed that I would convert to Islam and that I had already stated that I would not be returning to France or England and intended to sign for a local club.
"Frankly, I cannot understand how such things were allowed to be written," he told his website.
"I went to Dubai on holiday for ten days with my buddies, this photo was taken when I paid a visit to the Al-Wassal club - a simple visit which was out of courtesy after an invitation from them to meet their players.
"I never gave an interview and so how can somebody say that I would be converting to Islam and remain in Dubai.
"I am returning to France to continue my holidays and perhaps I will visit my brother in Madrid, and then I will be in Manchester in July for the resumption of training.
"Until proof of the opposite, I am under contract with City and flatly deny what was printed in France Football."