The French striker, 32, made the move to China on January 1 and has vowed to take his new adventure in his stride.
He tweeted: "I wanted to thank each of you for all the support that you have always brought to me. I love the time I spent in Chelsea. It is a famous club where I met talented players and coaches as well as very good friends.
"I also enjoyed London and all the wonderful things I lived there. But all good things come to an end and it is time for me, at my early 33's. To move to a new adventure with a new life, another rhythm and another universe.
"I am inpatient to discover Shanghai and this new environment. You will be regularly updated about my Chinese stories."
Anelka's salary is rumoured to be in the region of £200,000 a week.