The likes of Edin Dzeko, Joe Hart, Joleon Lescott and Micah Richards have all been linked with departures from the Etihad Stadium to boost their respective chances of featuring at next summer's World Cup.
However, Pellegrini has said that it would be "very strange" if any member of the City squad moved on.
"There are a lot of rumours that are not true. The squad we have from the beginning is the squad we need so it would be very strange that one player can go out in January," he told reporters.
This evening Pellegrini's side will travel to West Bromwich Albion.