Anelka left Chelsea in the January transfer window after finding first-team opportunities hard to come by under new Blues boss Andre Villas-Boas.
The 32-year-old Frenchman, who had handed in a transfer request at the start of December, was the subject of an offer from PSG but Anelka insists he was only ever going to swap London for Shanghai.
"I was contacted by an intermediary of Qatar Investment Authority," Anelka told Canal +.
"I did not want to go to PSG because I had already played there.
"I know the French mentality. The people there would have worn me out. It did not interest me.
"Shanghai is Asia's New York. I love the way they live. I often come here on vacation. This is my last contract."
Anelka has history with PSG, having played for the Ligue 1 side between 1996 and 1997 and then between 2000 and 2002.
In total, Anelka also made 184 appearances for Chelsea and scored 59 goals.