The former France international star has spurned the MLS side and is seemingly on course for a move to China, with the Canadian outfit unable to match his wage demands
The Canadian side came close to signing the striker last week, with negotiations described by head coach Jesse Marsch as "very good."
However, the club was unwilling to pay Anelka more than £4.5 million a season, which would have made him the highest-paid player in MLS.
Marsch conceded to Goal.com on Friday that the disparity between the two parties in salary demands might result with Anelka choosing to play elsewhere.
"When you start to talk about these kinds of players, the reality of it is that it takes major dollars to get it done," said Marsch. "It's not that Joey [Saputo] or the organisation have shied away from that, it's just always trying to evaluate what makes sense on our end."
He added: "I'm very optimistic that we will find somebody who is a right fit for our community and for our team. Someone who brings a real level of knowledge, experience and notoriety, the whole bit."
Anelka is set to sign a three-year deal with the Chinese club, which is rumoured to be £6m a season and includes commercial incentives.
Two sources confirmed to Goal.com that Anelka has reached an agreement with Shanghai, but that it will be the player who decides when this shall be announced. One source, who was close to both the Impact and Anelka, said: "I was shocked by Nicolas' choice, it appeared as if he was leaning another direction a few days ago."
One of Anelka's representatives, Doug Pingisi, declined to comment.
Another former France international, David Trezeguet, might be on the Impact's radar as he was recently released by Middle Eastern club Baniyas. Trezeguet's agent, Antonio Caliendo, has not responded to emails or calls regarding the possibility.