In the manga, Utena's relationship with Anthy is only that of friendship and it's hinted she has feelings for Touga. In the movie, Utena went to Ohtori to find Touga after the two apparently broke up.
The manga depicts Utena's connection with Anthy as merely a friendship, though hints suggest she harbors romantic feelings for Touga. In the movie, Utena journeyed to Ohtori to locate Touga, who had apparently ended their relationship.