The word Anzu is a group term for any creature formed at the dawn of creation, not of the natural world. When the Shapers departed, the Anzu were left to fend for themselves. Some survived, some did not.
Though most references to Anzu live in folk tales and children's stories, our world does have a considerable number of pre-urgoth structures. The Sunken Gardens, submerged in the center of Shadowmark, The Vault of Monument Watch, and The Golden Monolith of the Mirelands possess similar architecture not associated with Shapers, humans, or urgoth, and perpetuate the myth of ancient beings from long ago. Ancient paintings suggest that not only did the Anzu worship the Shapers, but interacted with them.
Some arcanists believe that the Anzu are not gone, but merely living among us... that perhaps a titan or even humans are Anzu. Others think this is ridiculous though because there is no evidence. There are stories of the Anzu in the north guiding the Dominion's hands, but some think it's just propaganda and that the ancient race is simply gone.
The Freelancers Three are said to have hunted an Anzu.