City are reportedly on high alert after the highly-rated Bayern Munich boss suggested he could make an announcement about his future next week.
But stories linking City with the former Barcelona coach are not new - and even predate Pellegrini's appointment in 2013 - and the Chilean has never let them bother him.
Asked if he was worried, the 62-year-old said at a press conference: "Absolutely not
I am not concerned about that
The only concern that I can have in my profession is to try and win the next game and to win the Premier League.
"That would be very successful, in three years, to win two Premier Leagues and be runner-up
Those are things that maybe I can worry about, not about speculation or rumour."
Pellegrini's most immediate concern is Monday's trip to Barclays Premier League title rivals Arsenal
City, in third, trail the Gunners by a point and Pellegrini recognises the importance of the contest.
He said: "It is not a decisive game because after that we have to play 21 games more - a lot of points - but it is important to demonstrate who is the best team of the first round (of fixtures) and it is important to play against the team who is one point above our team
So, it is a very important game
It is a game of six points."
City hope to have star striker Sergio Aguero back at the Emirates Stadium after four games out with a heel injury.
Pellegrini said: "Kun is working with the squad
We will assess if he is 100 per cent or not but he is working without problems
I think he will be in the squad."
Captain Vincent Kompany, who has been out for a month with a calf injury, is not yet ready to return but is back in light training.
Injuries are the only factor which could force City to change their plans not to buy in the January transfer window but Pellegrini has suggested this is unlikely
City have been badly hit by injuries in recent weeks but Aguero's return leaves only Kompany, Fernando, Pablo Zabaleta and Samir Nasri on the sidelines
Pellegrini said: "We will see in the right moment if we need someone to replace - maybe Nasri is the only player who has a long injury
All the other players I hope will recover in December
It is always an open window but we are not really, in this moment, considering that situation."
City learned this week they will face Dynamo Kiev in the last 16 of the Champions League when the competition resumes in February.
The away leg will be played behind closed doors after Kiev were punished by UEFA for offences including racist behaviour of fans.
Pellegrini said: "I don't like it
We already had the same situation against CKSA Moscow in the Champions League.
"I think it is not good for football to play in an empty stadium, but if they are punished by UEFA we must play in those conditions
For me, I think football is always better to play with the whole stadium."
Source : PA
Source: PA