The 30-year-old has admitted that there is a massive pressure at Stamford Bridge.
"Chelsea is a mega club composed of top players, within which you have to win every game because you are put under massive pressure," Anelka told Les Dessous du Sport.
"You have to win week in, week out, which is not the case when you play for Bolton, where you know that you are not going to finish in Champions League places every season.
"At Chelsea, you do not try [to win], you have to [win], which is very hard.
"It is different from at Arsenal. There is a context surrounding the club because of the chairman [Roman Abramovich] that makes people speak about Chelsea, more than about Arsenal.
"Arsenal are composed of young players, playing for third or fourth place, but we do not really speak about them for the title.
"But Chelsea is like Real Madrid. The pressure is huge."