The Frenchman revealed on his personal website: "The interview I gave in France was badly interpreted and translated. It is foolish to hold against me remarks that I never made.
"It has never been a question of us having bad players and I have not expressed any desire to leave.
"We are 100% behind Keegan and I am among those who thinks he should not be sacked. It is up to the players to make things better."
Anelka is City's top scorer this season with 15 goals in all competitions and still hopes to return to the French international set-up.
He added: "I have never scored so many goals by this stage of the season and to make Keegan leave would be a serious error.
"I have no desire to leave. I want to stay and help the club."