Speculation has suggested that Pellegrini is among the candidates to replace underfire Massimiliano Allegri should he be sacked, with former Barcelona head coach Pep Guardiola and Zenit St Petersburg’s Luciano Spalletti also reportedly in contention.
Milan coach Allegri is under pressure at San Siro following a disappointing start to the club’s domestic and European campaigns, but Pellegrini insists that he does not want the job.
"I want to do well at Malaga,” Pellegrini told Sky Sport Italia. "I want to get back up the Liga table from where we are in eighth place.
"As well as playing in the Champions League next season too we have to do well domestically. Of course, we hope to do our best in this European journey."