Anelka is on Saturday due to begin a five-match ban imposed for making the gesture, which has anti-Semitic links, after scoring against West Ham on December 28. An independent regulatory commission accepted there was no intent by Anelka to be anti-Semitic.
His club opted not to appeal against the sanction, and after holding talks with his employers the former France striker wrote on Twitter: "I have taken the decision to free myself and put an end to the contract linking me with West Bromwich Albion."
Anelka claims he made the gesture in support of his friend Dieudonne M'bala M'bala, a French comedian who has been convicted seven times of anti-Semitic crimes.
Following the incident, Anelka started all four of Albion's Premier League games in January. But he has not featured since and is banned for the upcoming trips to Swansea, Hull and Norwich as well as home games against Cardiff and Tottenham.
Over the course of three posts written in French on his official Twitter account, Anelka wrote: "Following talks between the club and me, propositions were made to me in order to reintegrate me into the squad under certain conditions that I cannot accept.
"Wishing to retain my integrity, I have therefore taken the decision to free myself and put an end to the contract linking me with West Bromwich Albion to 2014, with immediate effect."