The veteran left-hander, who is trying to make a successful return to the mound after being away for two years, felt something "strange" in his left elbow and decided the prudent move would be to leave the game.
"If it's scar tissue, it's great," Anderson said. "If it's not, we'll cross that bridge when we come to it."
Anderson, 35, has been recovering the past two seasons from Tommy John ulnar collateral ligament surgery on his left elbow. The 13-year Major League veteran last pitched for the Royals in 2005, when he made six starts before an elbow injury ended his season.
"I felt good in the 'pen warming up," Anderson said. "[I was] strong in the 'pen. One pitch just didn't feel good."
Anderson went through some strength tests after the game and said he'll likely go for an MRI, but he did not know if it would be Wednesday or Thursday.
"He went through the tests inside," Rays manager Joe Maddon said. "I don't know much more than that. But he's been doing so well. He's been throwing the ball well. And again, he really fits into our program, so I'm eager to see how that works out."
After Wednesday's game, the Rays reassigned right-hander Chris Mason to Minor League camp.
Bill Chastain is a reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.