In real-world applications, anomaly detection (AD) often operates without access to anomalous data, necessitating semi-supervised methods that rely solely on normal data. Among these methods, deep $k$-nearest neighbor (deep $k$NN) AD stands out for its interpretability and flexibility, leveraging distance-based scoring in deep latent spaces. Despite its strong performance, deep $k$NN lacks a mechanism to quantify uncertainty—an essential feature for critical applications such as industrial inspection. To address this limitation, we propose a statistical framework that quantifies the significance of detected anomalies in the form of $p$-values, thereby enabling control over false positive rates at a user-specified significance level (e.g.,0.05). A central challenge lies in managing selection bias, which we tackle using Selective Inference—a principled method for conducting inference conditioned on data-driven selections. We evaluate our method on diverse datasets and demonstrate that it provides reliable AD well-suited for industrial use cases.