City's failure to qualify from the Champions League group stages and their faltering Premier League title defence has led to speculation boss Roberto Mancini could be axed at the end of the campaign.
The City boss had to face questions about Pep Guardiola earlier in the campaign but following the former Barcelona boss' decision to join Bayern Munich in the summer, Malaga coach Pellegrini has emerged as a possible successor to Mancini.
Pellegrini has impressed with the Spanish outfit this season, guiding them into the knock-out stages in the Champions League and keeping them involved in the battle for a top-four finish in La Liga this season, despite financial constraints.
The former Real Madrid coach has been linked with summer moves to both City and Chelsea in recent weeks, but Pellegrini insists he hasn't been in contact with any Premier League clubs and expects to remain with Malaga.
"I don't care about these rumours. Both the squad and my staff are entirely focused in our duties here," said Pellegrini.
"We are happy in Malaga and our future will depend on this club. Regarding hypothetical offers, I haven't dealt anything with anybody and this is not my concern right now."