Bellingham's impressive performances at such a young age have grabbed the attention of Premier League clubs, with United believed to be eyeing up a sensational £30million move for the midfielder.
“It's difficult, it will be so hard for Jude to turn down a move to Manchester United," Pennant told talkSPORT.
“But is it going to halt his career, at 16? Ole is not going to be throwing him into the starting line-up, he will be in the squad but he won't be starting. How many games is he going to play?
“Now he is a regular at Birmingham. Birmingham is in the Championship, not League One, not League Two, the Championship, it's good football.
“The Championship is a very difficult league, more demanding than the Premier League - and he's 16 and he's holding his weight, he is putting in tackles, he's strong."
He added: “My advice would be to stay at Birmingham for a season, at least for the rest of this season, continue playing, learning more, the trade of demanding first-team football in the Championship and it will do wonders for his career moving forward.
“Rather than going to Man Utd and hitting a brick wall, going from 'I have been playing every week being a young starlet, to now just floating about training - when am I going to play?'"