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As cyber attacks are growing with an unprecedented rate in the recent years, organizations are seeking an efficient and scalable solution towards a holistic protection system. As the adversaries are becoming more skilled and organized, traditional rule based detection systems have been proved to be quite ineffective against the continuously evolving cyber attacks. Consequently, security researchers are focusing on applying machine learning techniques and big data analytics to defend against cyber attacks. Over the recent years, several anomaly detection systems have been claimed to be quite successful against the sophisticated cyber attacks including the previously unseen zero-day attacks. But often, these systems do not consider the adversary's adaptive attacking behavior for bypassing the detection procedure. As a result, deploying these systems in active real-world scenarios fails to provide significant benefits in the presence of intelligent adversaries that are carefully manipulating the attack vectors. In this work, we analyze the adversarial impact on anomaly detection models that are built upon centroid-based clustering from game-theoretic aspect and propose adversarial anomaly detection technique for these models. The experimental results show that our game-theoretic anomaly detection models can withstand attacks more effectively compared to the traditional models.