Questions over Drogba and Anelka have resurfaced because Chelsea manager Carlo Ancelotti has left one of them on the bench since a draw at Blackburn last month.
Davies, who faces Chelsea at Stamford Bridge on Tuesday night, played alongside Anelka for 18 months at Bolton and understands the interest in the striker who has played for eight clubs and not always blended in well with his team-mates.
Bad blood: Davies claims Drogba and Anelka don't see eye-to-eye at Chelsea
He said: 'There seems to be something not quite right with him and Didier Drogba. I'm not sure they get on very well.
Easy: Sir Alex Ferguson says Kevin Davies and Bolton will not trouble Chelsea at Stamford Bridge
'There doesn't seem to be a great bond when they play together, whereas Nicolas lights up when he plays on his own.
'You can't deny he's a great player but at the moment, you feel he's just not that happy.'
Manchester United manager Sir Alex Ferguson has described the visit of Bolton as 'an easy game' for Chelsea, who can go four points of United at the top of the table if they win.
But Bolton manager Owen Coyle, who masterminded Burnley's Carling Cup win on penalties at Stamford Bridge last season, said: 'We'll concentrate on what we can do, not on what anyone else has got to say.
'There's always an opportunity when people are writing you off to get results and that's what we'll look to do.'
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