Can anonymous class implement interface?

No, anonymous types cannot implement an interface. From the C# programming guide:

Anonymous types are class types that consist of one or more public read-only properties. No other kinds of class members such as methods or events are allowed. An anonymous type cannot be cast to any interface or type except for object.

While the answers in the thread are all true enough, I cannot resist the urge to tell you that it in fact is possible to have an anonymous class implement an interface, even though it takes a bit of creative cheating to get there.

Back in 2008 I was writing a custom LINQ provider for my then employer, and at one point I needed to be able to tell "my" anonymous classes from other anonymous ones, which meant having them implement an interface that I could use to type check them. The way we solved it was by using aspects (we used PostSharp), to add the interface implementation directly in the IL. So, in fact, letting anonymous classes implement interfaces is doable, you just need to bend the rules slightly to get there.