The Raptors journeyman poured in 20 of his career-high 35 points in the third quarter Friday night, but Toronto dropped a 99-94 decision to the Knicks for their third straight loss.
"It feels really good personally but when you can't get the win, you wish you did a little bit more," Anderson said afterward.
The Raptors didn't have long to lament the loss. Both teams then departed the Air Canada Centre for the airport to head to New York for a rematch less than 24 hours later.
"We definitely know that (we'll have a shot at revenge Saturday)," Amir Johnson said. "It was a tough game, only lost by five, Melo had a great game. All we can say to them is 'We'll see you tomorrow.'"
DeMar DeRozan added 18 points for the Raptors (26-43), who've lost 10 of their last 13. Jonas Valanciunas added 10 points and grabbed seven rebounds.
Carmelo Anthony led all scorers with 37 points in his second game back after missing six of eight with a knee injury.
"He scores in so many different ways," Anderson said of the Knicks star. "We tried to throw as many different looks at him as we could. But Melo is going to be Melo, and he knocked down some tough shots."
Kenyon Martin finished with 19 points and 11 boards for the Knicks (41-26), who've won three in a row. JR Smith added 14 points.
The Raptors, who are winding down yet another disappointing season, never led after early in the first quarter against a Knicks team that is in hot pursuit of the Atlantic Division title.
The Knicks were up by as much as 15 before taking a 77-71 advantage into the final 12 minutes in front of a sellout crowd of 19,800 fans.
Toronto pulled to within two points with 6:17 left in the game after seven consecutive points by DeRozan. But a basket by Anthony — the league's second-leading scorer — capped a Knicks mini-run that had the visitors back up by 10 with 2:16 to play.
"He played great," Knicks coach Mike Woodson said of Anthony. "I talked about it at the top of the game not playing him very big minutes like that but this was a game we had to go get. When you play a team back-to-back like that, you have to try to get that first one before they come to your place. So I just couldn't find a gap to sit him."
A three-pointer and a pair of free throws by Anderson, and a tip-in by rookie Terrence Ross, in the final minute made the score perhaps more respectable on an inconsistent night for the Raptors. Ross threw up a dreadful miss on a three-point attempt on Toronto's final possession to send most of the fans to the exits.
Anderson's previous career high was 27 points in a loss to Oklahoma City in early January.
Raptors coach Dwane Casey wasn't surprised Anderson, who's toiled for two NBA teams, plus numerous franchises in Europe, has big games against good teams.
"He is a veteran," Raptors coach Dwane Casey said. "He has been through the wars. There is nothing that intimidates him. He is one of our elder statesmen and it shows. No one is going to intimidate him. He is not going to get overly frustrated. That is how he plays."
The Raptors played much of the game without Rudy Gay, who tweaked his bothersome back with seven minutes left in the first half and didn't return.
The Raptors never led after midway through the first quarter, the Knicks using a 15-4 run to go up by 10 with two minutes to play in the first. The Knicks took a 25-22 lead into the second.
Toronto would come within two before the Knicks stretched their lead to 15 late in a first half that saw the Raptors shoot just 4-for-14 from three-point range. The Knicks were up 50-37 at halftime.
Anderson scored the Raptors' last nine points of the third quarter as Toronto pulled within four points. Anthony drained a fadeaway jumper from 18 feet at the buzzer to send the Knicks into the fourth with a 77-71 lead.
NOTES: Tyson Chandler didn't dress for the Knicks (bulging disc). . . The Raptors are back home to host Atlanta next Wednesday. They have six home games left.