The 29-year-old central defender has claimed it was a 'big decision' to leave QPR after just six months at the London-based club but argued the offer from Anzhi was "too good to let it pass by."
The defender, who moved to Loftus Road in January, hoped to help the club back to the top flight after he was part of the failed campaign to avoid the Championship under Harry Redknapp.
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"(QPR owner) Tony Fernandes is a great man. Tony wanted to keep me and help him back up but I believe the offer from Russia was too good to let it pass by.
"I was not planning to go anywhere. I wanted to reward the club for their support by helping them come back up."
Samba explained one of the main reasons he decided to return to Anzhi was that the Dagestan-based Russian Premier League club agreed to help relocate his family to Russia.
"My family are with me this time in Russia," Samba added. "That was a big part of my conditions."
Anzhi have reportedly paid £12.5 million for Samba, who was on a four-and-a-half-year deal with QPR, the same fee the Russian club received in January.