Rabeh moved to the Russian Premier League newcomers two weeks ago from Bulgarian champions Levski Sofia, who said they still wanted the transfer fee from Anzhi despite the player's disappearance.
"I'm shocked, I've talked to his family and they also have no idea where he is," said Nikolay Zheynov, one of Rabeh's agents. "He stabbed us in the back."
"We're left with no option but to inform FIFA, the Bulgarian FA and the Moroccan FA about his no-show."
Rabeh's room-mate Todor Timonov said the Moroccan had gone missing from the club's training camp in the Turkish resort of Antalya at the weekend.
"We had a practice game on Saturday but he was injured and he got permission to stay in the hotel," Timonov, who joined Anzhi from CSKA Sofia earlier this month, told Bulgarian media.
"But I went back to our room only to realise that he had gone."
Rabeh, 24, had been involved in numerous off-the-field incidents during his two years with Levski and received a three-year suspended prison sentence for drunk driving.
"We did so much to help him and we hoped that his move to Anzhi would help him and his career," Levski's chief executive Konstantin Bazhdekov told reporters.
"We're due to receive the transfer sum from Anzhi on February 25 and I can't make any detailed comments before that," Bazhdekov added. "We're trying to get in touch with him but unfortunately he's out of reach."
Neither club has disclosed the amount of the transfer fee.
