Wall anchors are designed to spread out and grip drywall or wallboard so that you can fasten various objects to it without the screws pulling free.
The various types of anchors may or may not be difficult to remove, depending upon their particular design. Toggle bolts are easy to remove--you just unscrew them and let the toggle drop into the wall cavity. Expanding anchors that balloon out into an umbrella-like shape behind the wall surface, on the other hand, may be left behind permanently.
To hide this type of sleeve, use a hammer and a short bolt to set the sleeve further into the wall. Then just fill the surface hole as you would any other hole (see “Fixing Holes in Drywall”).