The magnetic anisotropy of thin (~ 200 nm) and thick (~ 2 $μ$m) films and of polycrystalline (diameters ~ 60 nm) powders of the Prussian blue analogue Rb$_{0.7}$Ni$_{4.0}$[Cr(CN)$_6$]$_{2.9} ⋅ n$H$_2$O, a ferromagnetic material with $T_c ∼ 70$ K, have been investigated by magnetization, ESR at 50 GHz and 116 GHz, and variable-temperature x-ray diffraction (XRD). The origin of the anisotropic magnetic response cannot be attributed to the direct influence of the solid support, but the film growth protocol that preserves an organized two-dimensional film is important. In addition, the anisotropy does not arise from an anisotropic g-tensor nor from magneto-lattice variations above and below $T_c$. By considering effects due to magnetic domains and demagnetization factors, the analysis provides reasonable descriptions of the low and high field data, thereby identifying the origin of the magnetic anisotropy. ; Comment: 5 pages, 5 figures, corrected and expanded version