Jesus Martinez says Pellegrini would love to manage in the Barclays Premier League one day and will make a decision about his future in the coming months.
He told El Mercurio: "Manuel has a contract with Malaga. I think that in April and May we will be clear about what will happen with his future.
"Our first intention is to respect our commitment, but it also depends on what the conditions are.
"We had a formal offer from Roma, but we rejected it. It was less than 15 days ago, but we discarded it outright because we are in the middle of the season.
"Chelsea and other clubs have asked, but only through intermediaries, nothing official. Manuel would love to coach in the English Premier League, as he would in Germany, Italy and other important leagues.
"There's plenty of time to analyse what we will do next season."