The 22-year-old is reported to be the subject of interest from several clubs in the Championship and Gerrard has now decided to try and force the issue.
Saddlers chairman, Jeff Bonser, told the club's official website: "Anthony Gerrard is under contract until the end of the 2009-10 season, unless a substantial offer is received from a Championship or Premier League club, he will not be sold.
"This seems to be a trait of the modern game. Players' agents are pro-active in trying to broker transfer deals. This is how they make their money.
"Quite clearly Anthony Gerrard's representative has been actively trying to stimulate the interest of other clubs regarding the transfer of the player.
"However, such behind-the-scenes activity is bound to have an unsettling effect on the player and this, it seems, has led to Anthony Gerrard handing in a written transfer request."