In two dimensions, a system of self-gravitating particles collapses and forms a singularity in finite time below a critical temperature $T_c$. We investigate experimentally a quasi two-dimensional cloud of cold neutral atoms in interaction with two pairs of perpendicular counter-propagating quasi-resonant laser beams, in order to look for a signature of this ideal phase transition: indeed, the radiation pressure forces exerted by the laser beams can be viewed as an anisotropic, and non-potential, generalization of two-dimensional self-gravity. We first show that our experiment operates in a parameter range which should be suitable to observe the collapse transition. However, the experiment unveils only a moderate compression instead of a phase transition between the two phases. A three-dimensional numerical simulation shows that both the finite small thickness of the cloud, which induces a competition between the effective gravity force and the repulsive force due to multiple scattering, and the atomic losses due to heating in the third dimension, contribute to smearing the transition.