The French striker claimed to have terminated his contract at The Hawthorns, but the club "has received nothing formally" regarding the former Chelsea man's departure.
The Frenchman had been suspended by the Baggies after the Football Association announced its decision to ban the striker for five games and fine him 80,000 pounds for his 'quenelle' goal celebration.
Anelka's punishment has been widely condemned as too lenient, although the FA has confirmed it will not appeal the ban as it feels there is little chance of success.
Now Anelka has announced his decision to leave the Hawthorns with immediate effect in order to "maintain his integrity".
"Following discussions between the club and I, there was a proposal made that I would be re-integrated into the squad under certain conditions that I can't accept," he wrote on Twitter.
"Wishing to maintain my integrity, I have therefore decided to free myself and put an end to my contract that ties me to WBA until 2014 as of now."
However, West Brom released a statement denying the striker had officially left the club.
"The club notes Nicolas Anelka’s comments on Twitter this evening [Friday]," the statement reads. "However, the club has received nothing formally regarding the termination of Nicolas Anelka’s contract from either him or his advisers.
"The club regards the release of such a statement on Social Media as highly unprofessional and will make a further statement when appropriate."