The Frenchman, who was suspended indefinitely by the Premier League outfit after his 'quenelle' gesture against West Ham, claimed via his Twitter account that he had terminated his deal at The Hawthorns after the club laid out conditions for his return that he "cannot accept".
An independent regulatory commission ruled that Anelka should serve a five-game ban following a Football Association charge that came as a result of his controversial celebration at Upton Park in December.
And it looked as though his time with West Brom had come to an end following a series of tweets on Friday in which he suggested that he had cancelled his contract.
He wrote: "Wishing to keep my integrity... I decided to free myself and to terminate the contract binding me with West Bromwich Albion until 2014, and now."
However, West Brom later responded with a statement of their own, which rejected Anelka's claims that he had left.
"The club confirms it has been continuing discussions with Nicolas Anelka and his advisers as part of its own internal enquiry into the gesture he made after scoring against West Ham United on December 28," the statement read.
"Following the conclusion of the FA's enquiry into the same incident, the club had hoped to conclude its own investigations next week.
"The club notes Nicolas Anelka's comments on Twitter this evening (Friday). 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."
Anelka moved to West Brom in July and his only two goals for the club came in that 3-3 draw against West Ham.
