Like most anarchists, most Marxists understand the class nature of the state (ie that the state is the expression of the dominant exploiting class). Where the two philosophies tend to diverge is that most anarchists understand that the authoritarian nature of any state will remain intact regardless of what economic interests are represented by the dominant class; the idea of a workers' state is idiotic to most anarchists precisely because then "the workers" would be the dominant class, exercising their class rule over anyone not defined as "worker" or anyone excommunicated from the category "worker."
Most Marxists treat the working class (for itself) as a transformative socio-politico-economic (World Historical) force, which in power would alter the nature of class-based government -- if not the nature of humanity as a whole. In this regard, most Marxists consider the state in its most basic form to be a neutral set of administrative institutions, currently subject (like the development of the productive forces) to the irrational and exploitative whims of the bourgeoisie. Once the workers take over the decision-making and executive power of the state, it would revert to nothing more than an administrative body, no longer the tool of class domination.
Due to the mainstream, dominant Marxist understanding of the state, it is only logical that they work and hope for the day when they themselves can attain the level of state administrators. This is why intelligent anarchists remain suspicious of most Marxists, even the ones who call themselves "anti-state"; they tend to view workers' councils or other deliberative bodies as locations of class power. For anarchists, workers' councils don't have the connotation of a state, but for Marxists, they do. This is also why Marxists ridicule the anarcho-syndicalist idea of a federation of syndicates or communes not being the same as a government.