The 2002 World Cup winner, who joined the wealthy Russian Premier League club in February 2011, has not played since being taken off the team's squad in March.
"Roberto had been a world class player, but unfortunately he doesn't play any more," said former Russia boss Guus Hiddink, who was appointed Anzhi coach in February.
"Fortunately, Roberto will now take up a role to develop this club for the good of the game in the Dagestan region and the whole of Russia."
The 39-year-old said he was planning a farewell game against his former club Real.
"We had met Real president Florentino Perez and discussed such a match between Real and Anzhi," he told a news conference.
"We need to set up a date that suits both clubs. I would like to have my farewell to be played in Makhachkala."
Anzhi's billionaire owner Suleiman Kerimov said last year he wanted to make the Brazilian the club's world-wide ambassador.
Roberto Carlos, a twice Copa America winner, won 125 caps for Brazil and played at the 1998, 2002 and 2006 World Cups.
He quit the national side following the latter competition after being villanised in Brazil where he was blamed for allowing Thierry Henry to score the only goal in their quarter-final defeat to France.
Raised at provincial club Uniao Sao Joao, he made his name in Brazil during three seasons with Palmeiras, moved to Inter Milan for one season and then Real Madrid, where he spent 11 seasons.
After that, he still had time for a stint in Turkey with Fenerbahce before moving home to play for Corinthians.
