Pellegrino says the striker remains in his plans.
“He's an important player for us," the boss said. “He's not playing too much right now but is one of our main strikers, our main players, and I want to keep him."
Gabbiadini threatened to explode earlier this season after netting a brace against Newcastle in October.
However, the former Sampdoria man has started just four games in 22 games in all competitions since the Magpies draw.