But Tian Chua, a senior party official, said the rally did not need a permit because it would be held on land owned by the Selangor state government, one of five states won by the opposition coalition in elections last month.
"We'll go ahead," he said. "It's our own premises."
Chua added that thousands of people were expected to join the rally.
Police said there were internet messages urging Anwar's supporters to turn up at the rally on the eve of the expiry of the official ban which was imposed following his being convicted of corruption.
Anwar was sacked in September 1998 by Mahathir Mohamad, the then prime minister, but has sought to make a political comeback and has made it clear that his ambition is to become prime minister following unprecedented gains by the opposition in elections last month.
The ruling Barisan Nasional coalition suffered its worst election setback in 40 years, losing its two-thirds majority in the federal parliament and losing in five of 13 state government ballots.
Abdullah Ahmad Badawi, the prime minister, is facing pressure to resign over the ruling coalition's poor showing at the polls but has so far resisted stepping down.