Reports surfacing in France this week suggested that Bielsa was on the verge of signing a deal to take charge of the Ligue 1 outfit next season.
Bielsa has been out of management since departing La Liga's Athletic Bilbao last season.
But Anigo, who was appointed coach on a temporary basis after Elie Baup was relieved of his duties in December, said Marseille were still sorting their way through a list of potential candidates.
"OM need a great coach and they will have one," said Anigo, who was speaking ahead of Marseille's trip to Montpellier on Friday.
"It is something I am working on. Everyone is talking about Bielsa but I don't want to talk about it because, for me, absolutely nothing is done.
"Even if contact has been made, contact has also been made with other coaches."
Marseille have endured a disappointing domestic campaign and head to Montpellier seven points adrift of the European places in sixth position.
