The Argentine, who has continually been linked with Real Madrid, has 15 goals in his last 13 appearances, leading to fresh reports that he is wanted at the Bernabeu.
That is despite the 25-year-old making it clear that he is happy at City.
"I don't know anything about that," the Chilean coach told reporters. "I don't think Sergio wants to leave. That is not a problem for us. I don't believe in that."
Pellegrini has hailed the former Atletico Madrid star as the "best" player in England.