So if they don't sell on exchanges where do they sell?
I can't speak for other states, but in NY Anthem is Empire Blue Cross Blue Shield. Prior to Obamacare there wasn't really an individual market in NY. Health insurance was either Large Group (over 50) small group (2-50) or government subsidized (medicaid, Medicare, Healthy NY, child health plus and family health plus).
Several years ago Empire all but exited the small group market, by first terminating most broker contracts (except for those producing large volumes) and then by virtually eliminating commissions and making whatever plans remained totally uncompetitive.
When Obamacare came about, Empire introduced a new network called Pathways and reentered the small group market and the individual market. The first year that the Pathways network was introduced in NY, many providers didn't accept it. However later on that network was developed and it is one of the best in the NYC area on the exchange.
If they leave the exchange, my guess is that they will refocus again on the large group market, and possibly have some small group offerings, as well as government sponsored plans such as child health plus, medicaid, etc.
This will be nothing new. Unfortunately with the way this business goes, one can't just select a plan and remain with it long term. Plans and provider networks are constantly changing.