The 38-year Carlos - one of a number of stars signed by the Dagestan outfit in the past few years - said he would continue to work in the club's organisation and was set to play more matches for Anzhi next season.
"I'm not playing football any more this season, I will continue working in the club's structure," Carlos said in a statement.
However the 1994 World Cup winner, who played his last match for Anzhi in September, said he did not intend to hang up his boots.
"I'm currently working as a coach and I was excluded from the club's players' list to release a vacancy for another player," Carlos said.
"But I'm not going anywhere. I'm out just until the end of this season. I'm set to play several more matches for Anzhi next season."
Carlos added he was still under contract with Anzhi until 2014.
Anzhi's Roberto Carlos takes time out
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