The 33-year-old, who has recently been linked with Premier League duo QPR and West Ham, has had an indifferent time in China since joining Shanghai on a two-year deal last December.
Anelka has only scored two goals for struggling Shenhua, while battling injury and leadership instability - having been given a coaching role following Jean Tigana's sacking before it was handed to Sergio Batista shortly after - as well as a spat with a fan last week.
However, Anelka dispelled rumors of his departure from China when he told the Oriental Sports Daily he was committed to the club for the rest of his playing career and excited by the imminent arrival of former Chelsea teammate Didier Drogba.
"I won't go back to the Premier League. If one day I leave Shenhua, it will be the day I retire," Anelka said.
"I will never go back, although I had a good time there. But now I'm in Shenhua and this is my own decision."
Drogba, who signed with Shenhua late last month, is expected to arrive in Shanghai on Friday or Saturday and Anelka said he would be boosted by the Ivorian's presence as the under-performing club try to move up the table.
"I am waiting for him," Anelka said. "There were a lot of games when I was alone in front, I would think if Didier was here the situation would be better. I could pass him the ball."
Shenhua is currently 13th in the Chinese Super League, one point above the drop zone, having managed only three wins and 13 goals in 16 games this term.
However, Anelka was optimistic with Drogba alongside him, Shenhua can avoid relegation and move well up the table.
"Although we're now at the bottom of the league, the gap with other teams is not big and we can climb up after even winning two games," Anelka said.
"I am not worried about relegation. I only think if we can have a better ranking."