Pellegrini has lost key players Santi Cazorla to Arsenal and Salomon Rondon to Rubin Kazan in just a week, but the Chilean says that he intends to stay to help the club through the "tough times".
"With regard to my situation here, it's very clear," Pellegrini said.
"I'm staying here to help the team as much as possible through these tough times."
"It's just unfortunate that everything has been left until the last minute. We have no intention of turning our back on the club. We know it's not going to be easy, but we'll be fighting as hard we can to qualify [for the Champions League]."
Pellegrini has been in charge of Malaga since 2010.