It's been suggested Pellegrini will be shown the door if Real collapse at the Nou Camp.
But Valdano says: "He's in no danger. We come first in the Liga and also in our Champions League group. Suggesting the coach is in doubt seems to me boring now.
"We're very excited about the game and going there capable of doing something special."
Valdano was also asked about Fernando Gago's situation.
He added: "He is not leaving. We need him because of the African Nations Cup. Mahamadou Diarra will have left and we need him to give support to Pellegrini."