Lukaku made a season-long loan switch to Everton on Monday night, with Blues boss Jose Mourinho deciding that he could not offer the Belgian international regular first-team football at Stamford Bridge.
Anigo has revealed that L'OM tracked Lukaku's progress towards the end of the transfer window, but decided against a bid after finally signing Florian Thauvin from Lille.
He told RTBF: "We already have a good striker with Andre-Pierre Gignac, but there was the possibility of having two. Nevertheless, the number one option was to take Thauvin so we stayed on it."
Elie Baup's side have made a positive start to their Ligue 1 campaign, winning three of their first four matches.