The announcement came amid efforts by the company to build a downtown stadium to lure an NFL team back to Los Angeles.
Anschutz said in a statement that he had made it clear that he wouldn't sell the AEG sports and entertainment company unless the right buyer came forward.
"They wanted more than what people were willing to pay," said Paul Swangard, managing director of the Warsaw Sports Marketing Center at University of Oregon. "I just feel as though there's still differences of opinion about how valuable AEG is."
It wasn't clear how far along the company had been in the sale process or how the move might affect its plans to build the proposed 72,000-seat Farmer's Field football stadium.
Anschutz said he will resume a more active role in AEG. Tim Leiweke, who has served as president and CEO and been the face of the company for more than 15 years, is leaving, Anschutz said.
The sale of the sports and entertainment company had been expected to fetch billions of dollars.
The Los Angeles Times reported that interested buyers included Mark Cuban, owner of the NBA's Dallas Mavericks, billionaire Patrick Soon-Shiong, and Guggenheim Partners, which recently led a consortium that bought the Los Angeles Dodgers.
Last week, Mayor Antonio Villaraigosa said in a television interview that Anschutz had to find a buyer for AEG first before moving forward with what he termed as "uphill climb" involving the stadium effort.
Villaraigosa stressed, however, that he believes the NFL would return to Los Angeles. The city has been without an NFL team since the Rams moved to St. Louis and the Raiders departed for Oakland in 1995.
NFL spokesman Brian McCarthy said the league will continue to monitor the developments with the stadium proposal and "remain interested in multiple sites in the Los Angeles area."
An email message left for AEG spokesman Michael Roth was not immediately returned.
Swangard said Anschutz's decision to retain AEG will likely help the process to build a new football stadium.
"It creates certainty for the LA (football) project," he said. "If they weren't getting the price they wanted, and at the same time were getting pushback on their next big deal, this approach makes all the sense in the world."
AEG transformed the Los Angeles landscape with the opening of Staples Center in 1999. Its later addition of the LA Live entertainment complex helped revitalize the city's long-neglected downtown.
The company's holdings also include the Los Angeles Galaxy, part-ownership of the NBA's Los Angeles Lakers, and major entertainment and real estate holdings in Los Angeles.