The Blues are expected to be without a manager at the end of the season following interim boss Rafael Benitez's announcement that he will part ways with the West London outfit in the summer.
"Chelsea and other clubs have asked, but only through intermediaries, nothing official," Martinez told Chilean newspaper El Mercurio.
"Manuel would love to coach in the English Premier League, as he would in Germany, Italy and other important leagues. Manuel has a contract with Malaga. I think that, in April and May, we will be clear about what will happen with his future."
Pellegrini has also been linked with Manchester City.