The Ligue 1outfit identified the Chelsea forward as their main back-up target should a move for first-choice Lille frontman Florian Thauvin fall through.
But Marseille completed the signing of the Lille forward, which meant Marseille could drop their interest in Lukaku.
Anigo told RTBF when discussing the young Chelsea striker: “We already have a good striker with [Andre-Pierre] Gignac but there was the possibility of having two.
“Nevertheless, the number one option was the take Thauvin so we stayed on it.”
Lukaku was the subject of a deadline day scrap between West Brom and Everton as both Premier League clubs sought to agree a season-long loan deal for the Belgian international.
In the end Everton won out, despite Lukaku’s impressive record at The Hawthorns last term.
During his loan spell under Steve Clarke last season, the on-loan Chelsea forward scored 17 times in 35 Premier League appearances.
But he was deemed surplus to requirements at Stamford Bridge this season after Jose Mourinho brought in Samuel Eto’o from Anzhi.