Pellegrini has also been in the frame in recent weeks for the Manchester City job, but Chelsea may step up their interest following the news that Rafa Benitez will leave Stamford Bridge at the end of the season.
"Chelsea and other clubs have asked, but only through intermediaries, nothing official," Pellegrini's agent Jesus Martinez told Chilean paper El Mercurio.
"Manuel would love to coach in the English Premier League, as he would in Germany, Italy and other important leagues.
"Manuel has a contract with Malaga. I think that, in April and May, we will be clear about what will happen with his future."
A good alternative to Mourinho? Could Pellegrini survive at Chelsea? Give us your shout below...