The Serbian forward threw his PSG shirt on the pitch last Wednesday after being booed of by his own fans.
Reports in French media claims Kezman will never play for PSG again.
Anelka told Les Dessous du Sport: “Well, I understand him. I never did that, but regarding the situation he was going through, his reaction is normal.
“You know that you missed a gesture but you don’t have the time to smooth over. So you think hard about your failure and you come off booed by the public.
“It hurts. I think he’s a goal scorer that is all about confidence. Once his confidence will be back he will be able to bring a lot to PSG.”