The Citizens boss, who left the La Liga outfit in the summer to take charge at Eastlands, is apparently in the market for a new first-choice stopper following Joe Hart's concerning dip in form.
Caballero, 32, is understood to have a £17m release clause in his contract, and a report this week claimed that Pellegrini is prepared to meet that figure to reunite with his former number one at Los Boquerones.
Casado told Spanish radio station Cadena Ser: "We will not sell Caballero or Darder. We're just focused on building."
Darder has made 11 La Liga appearances for Malaga, for whom Caballero has represented since making a £750,000 switch from their Spanish rivals Elche in 2011.