News of Depp joining the film came out in July, just weeks after he began production on his remake of The Lone Ranger.
When asked about Depp's casting, The Royal Tenebaums director Anderson told The Playlist: "Johnny is somebody who I would love to work with at some point, but he's not going to be in this movie.
"But I actually have not put the cast out - I have not announced the cast. We have quite a great cast."
It was earlier reported that the film is set to star frequent Anderson collaborators Bill Murray and Owen Wilson, as well as Angela Lansbury and Jude Law.
The Grand Budapest Hotel is expected for release in 2014.
Watch a trailer for Wes Anderson's most recent film Moonrise Kingdom below: