The former Blackburn star joined the Dagestan giants last Ferbruary in a deal worth around £12million.
But now Queens Park Rangers have met and activated his release clause.
Now the player has left the club's winter training camp in Spain, and Hiddink has slammed the player for his decision to quit.
"He left for England yesterday," Hiddink confirmed on Wednesday.
"I hope that today or tomorrow we'll find out what has really happened.
"It's a shame to talk about this but he didn't even say goodbye, he didn't explain anything to us.
"Whatever happens to you in life, you should take into account the people with whom you work with.
"It's not a great situation for us. He started the pre-season camps with us, but then suddenly in the last few days he started to make contact with England, that's despite still being on contract with Anzhi.
"Now we have a new situation. We need to be realistic and see what we can do before the transfer window closes."
An Anzhi club spokesman insisted there was no comment to make, saying: "We don't comment on rumours. All news is posted to our official site."