Here's why:

* Anaphase is the stage where sister chromatids separate and move towards opposite poles of the cell. The cleavage furrow does not appear during anaphase.

* Cytokinesis, the process of physically dividing the cell, begins during telophase, which occurs after anaphase. The cleavage furrow forms during cytokinesis, pinching the cell membrane inwards and eventually separating the two daughter cells.

Therefore, the cleavage furrow first appears during telophase, not anaphase.