Speaking in an interview with the Xinmin Evening News, Shanghai’s main evening newspaper, Anelka criticised a lack of support from the club.
“If there is still no one to support me and (they) continue to play little tricks behind my back… then I will quickly decide whether or not to retire,” he said, in comments published by the newspaper in Chinese.
“This will be decided on what happens in the next few weeks.”
Shenhua could not be reached for comment on the report.
Anelka, the most high-profile foreign footballer to sign for the Chinese league, joined Shenhua in January on a two-year contract for a reported salary of 234,000 euros ($307,000) a week.
But Shenhua now rests near the bottom of the standings in China’s Super League.
The club fired French head coach Jean Tigana, another high-profile foreign import, last month and named Anelka “player-coach” and former DR Congo national manager Jean-Florent Ikwange Ibenge as “acting” head coach.
Anelka said he was basically serving as head coach and would find it difficult to accept someone taking over his responsibilities.
“In substance, I exercise the power of head coach, since I decide the players’ list and handle daily training,” he said.
It is the first time Anelka, the man famously nicknamed “Le Sulk” for his surly demeanour, has acted as player-coach.