It has been reported that the Chilean has been lined up to succeed current City manager Roberto Mancini, whose position at the Etihad Stadium has come under the spotlight following a hugely disappointing season.
According to reports, Mancini, whose team lost the FA Cup final to Wigan at the weekend, could even be sacked before the Blues take on Reading on Tuesday night.
However, Pellegrini insists he has no deal in place with any club for next season and is currently focused only on trying to help Malaga secure a Europa League place.
"I deny here and now being the new coach of Manchester City, I haven't signed any agreement with anybody," Pellegrini told reporters following Malaga's goalless Primera Division draw with Sevilla in quotes reported on his club's official website.
"I've been fortunate enough, and very proud, that every year the big clubs have shown an interest in me.
"I have an agreement with Malaga not to talk to anyone and nothing has been agreed with any other club.
"I hope in the coming weeks that things will become a little clearer what is going to be the future here at this club."