Anthony was injured in the first quarter of Monday night's 99-88 victory over the Utah Jazz.
The five-time All-Star got hurt right before throwing an alley-oop pass to Tyson Chandler, the New York Post reported.
Anthony faked a three-point shot, then lobbed the ball to Chandler for a dunk and a 12-5 Knicks lead. But Anthony came up hobbling and holding his thigh.
He called a timeout with 6:11 left in the quarter, and after being looked at by medical staff, never returned to the court.
Anthony sat out Jan. 14 with a sprained right ankle, and after shooting just 40-for-126 in six games upon his return, he admitted he rushed back too soon.
Anthony, who is averaging 22.3 points per game for the 10-15 Knicks this season, sat two more games late last month due to injury.
New York overcame Anthony's departure against Utah and the absence of Amar'e Stoudemire, who traveled to Florida for his brother's funeral.
The Knicks will also be without Stoudemire on Wednesday in Washington, as he wanted to continue spending time with his family. It was not clear when he would return.
"I am humbled by all of the thoughts and prayers I have received. Thank you for all of the support," Stoudemire said in a statement released by the team Tuesday.
"I am going to take a few days to be with my family and grieve the loss of my big brother, Hazell Stoudemire. Although it is not clear to me now, I hope to make some good come from our tragedy."