There has been a lot of speculation about Anthony's expiring contract -- which includes a player option for next season, and whether he'll sign an extension with Denver or end up with the Bulls, New York Knicks or New Jersey Nets before the trade deadline.
But Anthony said after Monday morning's shoot-around that his focus is on the present.
"Maybe if I was a free agent, I would let my mind wander, but I can't do that right now," he said. "I got to focus on being a Nugget and playing Nuggets basketball.
"It wouldn't be right if I let my mind wander and think about if I was here in Chicago."
But Anthony did talk about how much he likes the Bulls' style of play.
"I don't want to say this in the wrong way and then you all take it ... but anybody would love to play with a guy like Derrick Rose," Anthony said. "A young point guard, young star, get the ball up and down the court. He's improved his game every year.
Anthony admitted Chicago has a unique aura because of Michael Jordan's legacy.
"Of course, what MJ [brought] to the city. Just the city itself, being a big city, the fans out here and just the historic value of basketball here," said Anthony, who described Chicago as a top-three basketball city. "Everybody knows what Chicago basketball's about."
Anthony is likely to hear some cheering from Bulls fans when he's introduced, but he's not sure exactly what to expect.
"I'm on an opposing team, so I'm pretty sure they won't cheer for me too much," he said. "We'll see, but I'm not looking forward to that, though."
The Nuggets are 4-2 and atop the Northwest Division, and Anthony didn't discount the possibility of returning to Denver.
"Sure, why not? I don't see why not," he said. "We're winning, we're winning basketball games and I'm happy, and everybody else on the team is."