The Chilean is a favourite for the City job should Roberto Mancini leave at the end of the season.
Pellegrini's agent, Jesus Martinez, told TMW: "Today he is the coach of Malaga and so will be there for two more seasons.
"Now he's focused on this season's finale between the league and the Champions League quarterfinals, needless to talk about the future.
"Have I been contacted by the management of Manchester City? I would say no. Italy or England in the future? They're two very interesting championships, as well as Germany. "