Diffusion-based planners have shown strong potential for autonomous driving by capturing multi-modal driving behaviors. A key challenge is how to effectively guide these models for safe and reactive planning in closed-loop settings, where the ego vehicle's actions influence future states. Recent work leverages typical expert driving behaviors (i.e., anchors) to guide diffusion planners but relies on a truncated diffusion schedule that introduces an asymmetry between the forward and denoising processes, diverging from the core principles of diffusion models. To address this, we introduce BridgeDrive, a novel anchor-guided diffusion bridge policy for closed-loop trajectory planning. Our approach formulates planning as a diffusion bridge that directly transforms coarse anchor trajectories into refined, context-aware plans, ensuring theoretical consistency between the forward and reverse processes. BridgeDrive is compatible with efficient ODE solvers, enabling real-time deployment. We achieve state-of-the-art performance on the Bench2Drive closed-loop evaluation benchmark, improving the success rate by 7.72% and 2.45% over prior arts with PDM-Lite and LEAD datasets, respectively. Project page: https://github.com/shuliu-ethz/BridgeDrive.