The Chilean has admitted that he will soon leave the Andalusian club but emphasized that he was leaving for a project to fulfill his sporting ambitions
The Chilean has been in charge of the Andalusian outfit for two seasons but is widely expected to replace Roberto Mancini, who was recently sacked by the Premier League club.
"Professionally, I'm going through my last hours at Malaga," he is quoted as saying by AS.
"Sunday will be my last game as coach of Malaga at La Rosaleda. It will be very emotional and I hoped to leave the club qualified for Europe with the mission accomplished, but the team's luck changed.
"The agreement with the club has been rewarding and fulfilling. Everyone has the right to move on. I'm not looking for [financial reward] but a for sporting project which allows me to feel fulfilled."
City ended the season without silverware, finishing as runner-up in both the Premier League and FA Cup.
Pellegrini has previously coached the likes of Villarreal and Real Madrid.