Reports on Sunday suggested that the 31-year old centre-back was set to join West Ham United on loan but Pellegrini stated that was not the case after City beat Newcastle United 2-0 at St James' Park.
"No, no. I am not talking about any loan at the moment," he said.
"I repeat, when this transfer window is over at the end of January, we will see what happens. At the moment, Joleon will stay here with the team."
Former Everton defender Lescott has featured eight times in the Premier League this season for a total of 15 appearances since Pellegrini arrived in the summer.
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