Anderson will return home when his deal expires in June.
He said on social media on Monday: Out of respect for Lazio and its fans who always supported me, I confirm that I have not reached an agreement to renew my contract with the club and I will therefore follow a new path next season.
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I always proved my professionalism and my commitment to Lazio, so I can assure you that I will continue to dedicate myself to honouring this jersey until the very last day of my contract.
Thank you for everything!"