It is a configuration option generally called split tunnel. I forget what cisco calls this feature. Anyconnect is a extremely complex enterprise vpn package. You might just be able to change this option in the vpn client. Many times this option is disabled and the ability to configure anything on the client is controlled by the central server of your company. It all depends on if the IT guy want to allow you to do this.
This is a very common complaint with any well setup vpn client. It is consider a security exposure to allow any connection to any other device either on your lan or any place else while the connection to the corporate network is active. In effect you would be putting your printer on the company...