Most real-world multi-agent tasks exhibit the characteristic of sparse interaction, wherein agents interact with each other in a limited number of crucial states while largely acting independently. Effectively modeling the sparse interaction and leveraging the learned interaction structure to instruct agents' learning processes can enhance the efficiency of multi-agent reinforcement learning algorithms. However, it remains unclear how to identify these specific interactive states solely through trials and errors within current multi-agent tasks. To address this challenge, this paper introduces a novel algorithm called Sparse Interaction as Anomaly (SIA), which innovatively casts the sparse interaction modeling into an anomaly detection problem. The underlying intuition is that interactive states appear rarely in agents' trajectories and exhibit distinct dynamics compared to other commonplace states. Building upon this insight, SIA first employs variational inference to model the latent dynamics of agents' trajectories. It then designates states with anomalous dynamics as the elusive interactive states and subsequently instructs agents to explore these states more extensively. This facilitates the emergence of interactive behaviors and promotes the learning of multi-agent policies. Experimental evaluation of SIA across various multi-agent tasks demonstrates its superior performance against multiple baselines, highlighting its effectiveness.