The Portuguese coach has reportedly turned down a fruitful offer from the Russian free spenders as he looks to continue his work at the Santiago Bernabeu
The deal would have made Mourinho the highest-paid coach in the game, with the Portuguese having reportedly been offered €25 million per annum to coach the Russian outfit.
Anzhi approached Mourinho during the first trimester of the year, when his continuity at the club beyond the end of the season was still in doubt.
The former Chelsea boss only managed to win the Copa del Rey in his first season at the Bernabeu, with Barcelona stealing the spotlight in La Liga and the Champions League.
Earlier in the week, a report in Russia suggested Anzhi are on the lookout for an experienced coach to guide the club to European glory next season, with Turkey boss Guus Hiddink believed to be the club's number one target.
Marca also claims that Mourinho has turned down a €20m-a-year deal to coach Manchester City and a blank cheque from Besiktas, who asked the 48-year-old tactician to name his price.