The 27-year-old central defender ended the season on loan at Hereford United but is out of contract at Bristol Rovers this summer and unlikely to be offered a new deal.
"I haven't heard anything from the club yet, although it seems obvious I'm not going to be offered anything," said Anthony," quoted in The Post.
"But it would be nice to be told that after six years of loyal service."
Anthony went on to tell the newspaper that he is keen to stay in League Two and that his agent has been in talks with potential new clubs.