Reports surfaced last week suggesting that the Chilean had agreed to take the reins at the Etihad Stadium at the end of the season.
However, the 59-year-old said that he is happy in Andalusia and has no plans to leave.
"I do not care about the rumours," Pellegrini told reporters. "My mind is firmly in Malaga and I am very happy here.
"I have no arrangement with anyone and I do not want to worry about anything else other than Malaga."
Malaga are currently fourth in La Liga.