The Congolese defender moved to the Dagestan club in January 2012, and found himself the victim of prejudiced chanting from the stands in Russia.
AC Milan star Kevin-Prince Boateng recently walked out on a match after being greeted with monkey chants, and Samba feels the Ghanaian was right to do so.
"Some Zenit St Petersburg fans have made bad statements about not wanting black players in their team, and I was a victim of the racist incident at Lokomotiv Moscow," he told The Guardian. "I admire [Boateng's] club and teammates who supported him, but those chants were disgraceful; it is sad to see this – it is killing the game.
"It is very difficult for players to know what to do. Playing on shows strength in a way, but it can also seem like we are avoiding the problem."
Anzhi has made the headlines in recent years due to its riches and ambitious transfer policy, and Samba says he believes in the project that the club has been building.
"The owner is doing everything for us to be happy," he continued. "He listens to any problem, he is very kind, he has a big heart.
"The owner is trying to give the people some joy creating this football team."