In the 2011–12 season, Anthony scored in his second appearance during a 2–1 defeat to local rivals Torquay United. Having initially retained his place in the side, scoring his second goal of the season in the 6–1 rout against AFC Totton, he was dropped by new manager Mark McGhee who had been appointed as Paul Buckle's permanent replacement in January 2012. He made no further appearances for the club under McGhee, being sent out on loan to Hereford United. Even after his return, Anthony's future at Bristol Rovers looked slim, as he was not offered a new contract by the club. This was later confirmed by the club on 18 May 2012, as Anthony was among seven players to be released by the club, ending his six year association with Bristol Rovers. Following his release, Anthony publicly criticised McGhee, stating "He said he would give everyone an opportunity but he didn't give me the chance to show what I could do."