Dzeko is believed to be a target for top clubs in Italy and Germany, having found himself down the pecking order at the Etihad Stadium this season because of Sergio Aguero and Alvaro Negredo's performances.
But the Bosnian has been assured that he has a big role to play as City fight on four fronts for silverware, with Pellegrini categorically denying that he was ever likely to be sold or loaned in January.
"There was never any chance of Dzeko going in January. He is a very important player for the team," said the City boss.
"If you look at the last month I think Dzeko was one of the players that played the most minutes in December.
"He has continued to a very important player for us.
"Always a player wants to play every game but it is impossible with the amount of games that we have to play.
"I think he is happy here. He is an important striker and could have a lot of offers from other clubs but there is never a chance of him leaving."
Rodwell, who has struggled to establish himself at City since his £12million move from Everton in August last year, has also been linked with a move on loan with Malaga among his reported admirers but Pellegrini is not looking to weaken his midfield corps either.
He said: "I think all the players in the squad at the moment, it is because we need them. I need all the players."
The Chilean coach is now considering whether he needs to strengthen his squad during January.
"For the moment, we are not talking about that but we are always analysing what we need and what we don't need," he added.
"The possibility of the transfer window is there for every club. We will see what we are going to do in the next days."