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."
"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.
