Her brother Ravi Shankar had lodged a complaint with Jubilee Hills police station on Tuesday stating that she had disappeared from a star hotel and her mobile phone was also switched-off.
According to Deputy Commissioner of Police (West Zone) G Sudheer Babu, the actress appeared before police and gave a statement saying "she was stressed out due to her busy shooting schedule" and had gone to Mumbai for a break.
She appeared before police as there was missing case registered in the city, the DCP said, adding that based on her statement a final report will be submitted to the court.
Earlier, there were reports that Anjali had accused her step mother Bharati Devi and Tamil film director Kalanjiyam of harassing her.
Anjali acted in hit Tamil films Engaeyum Eppothum and Angaadi Theru besides the multi-starrer Telugu movie Seethamma Vakitlo Sirimalle Chettu.