The big-spending Russian club hit the headlines in the summer when they made Samuel Eto'o the highest-paid player in world football with a deal worth in excess of £250,000-a-week.
Billionaire Russian Suleyman Kerimov is financing the club and despite already making huge investment, they are still looking for more big names.
"Anelka is not the only player. Nene from PSG and Van Persie from Arsenal are players we are following," the Brazilian told TV show Canal Football Club.
He also confirmed that the club are still tracking Brazilian wonderkid Neymar.
"Neymar? I talked to him. If Real, Barca or Man United cannot pay the transfer fee, we will pay it. Suleyman Kerimov can offer what he wants."