The Chilean coach has revealed that he held talks with the Merseyside outfit back in 2010 after leaving Real Madrid.
However, the 60-year-old opted to move to Malaga, where he left last summer to take over at the Etihad Stadium.
"After I finished with Real Madrid, I had a conversation with Liverpool," the Manchester Evening News quotes Pellegrini as saying.
"It is the past, not in the future. I have no regrets at the moment because I now have the chance to manage Manchester City. I have no regrets about that."