Woodson recently urged Anthony to concentrate on his game after the 29-year-old admitted that he was willing to enter the free agency market next summer.
"I'm a guy who's strong-minded person who's not gonna let that outside stuff bother me," Anthony told reporters. "[Woodson] knows that.
"I told him, 'Don't even think about worrying about me, as far as letting that interfere with my game or this team – I'm not, so you shouldn't."
The Los Angeles Lakers are one of a number of teams believed to be interested in Anthony.