The midfielder reportedly said "a lot of people want out", even naming winger Nani, after he completed a loan move to Fiorentina - adding that he has no intention to return to the club.
But, writing on his Instagram page, he insisted the interview never happened and underlined his affection for United.
"I'm shocked and surprised with a supposed interview that never existed," he wrote. "I never gave any interview, much less to say bad things about a club that I love, a club where I grew up and that gave me so much. Shame on you!!!!
"I'm like a fan and love the club."
Anderson arrived at United seven years ago in a big-money move from Porto but failed to live up to initial expectations and has now joined Fiorentina until the end of the season with the option of a permanent move.