I am searching a way to draw a circle using Andengine. As I can see, I can only draw lines, rectangles, and place sprites, but I cannot find a way to draw circles. How can I do
Indeed, you can't directly draw a circle. Alternatives are:
Rendering a quad with a circle texture (see this link, for example)
Rendering a circle that's actually a circle of connected triangles. You'd have to procedurally generate the geometry to approximate a circle. For a solid circle, that's not so hard. A hollow circle / circle outline, a bit more involved, I suppose. You could also draw a circle with lines, if that's what you want.