The 26-year-old striker has been linked with a move to Bologna.
"I don't think so," replied Pellegrino when asked about the Italian.
"This morning I was talking with Les. Every day we are talking about some news in the market, about how we have the possibility for some players to leave and some to try and bring in but nobody told me anything about Manolo.
"He's an important player for us. He's not playing too much right now but is one of our main strikers, our main players, and I want to keep him."