Anelka picked up his second FA Cup winners' medal yesterday after helping the Blues recover from conceding a first-minute goal to triumph 2-1 against Everton at Wembley.
The game was interim manager Guus Hiddink's last at the helm, with attention now turning to his successor.
Anelka said: "It was a great way to say goodbye to Guus. He has had a major influence on the team and the cup was our way to say thank you to him.

"We will miss him, and we hope that maybe in time he will come back. Why not?
"But we know he will now not be with us next season. It could be (AC Milan coach Carlo) Ancelotti next, and he would be a good choice, but whoever comes in we will do our best for him and the club.
"We need someone who knows English football, who knows about the English spirit and this club.
"We have had several people in charge in a short time. But it is better for the players if the new man has more time, and that he is here for the long term."
On Chelsea's recovery, Anelka said: "Maybe it was good that we conceded so early, it made us work harder and wake up.
"We needed to play as a team to come back after that, and we showed that we could do that."
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