Benzema has been included in the squad to face Real Zaragoza this weekend amid allegations of off-the-field misdemeanours.
And Pellegrini believes the 22-year-old striker is not allowing himself to be affected by the reports.
"I'm always concerned about problems which could affect my players," said Pellegrini. "I have spoken to Benzema, he told me he has nothing to do with all this.
"I find him perfectly calm. All this should not affect him on the pitch."