The striker is reported to be the subject of a summer bid from Real Madrid, but the Chilean, who coached at the Bernabeu, does not expect the Argentina star to leave the club
Newspaper reports on Sunday suggested the Argentina star has been identified as the Spanish club's top transfer target.
But Pellegrini is in the dark over any such interest, and is confident Aguero wants to stay in Manchester.
"I don’t know anything about that [interest from Real Madrid]," Pellegrini told reporters. "I don’t think Sergio wants to leave so it’s not a problem for us."
Pellegrini also heaped praise on Samir Nasri, who scored twice in a 3-0 victory over Swansea City on Sunday.
He said: "I think that Samir played very well, especially in the second half. I think he is playing like he is free and happy, and he feels again like he is an important player. The way the team plays is very comfortable for him.
"You know that he is a big player. He has played here for three or four years and I have seen when he has played against me in the Champions League he is very good player.
"He is again playing in the way he knows how to play."
Despite his side not being at their absolute best, Pellegrini hailed his defence for keeping a Swansea side who dominated possession quiet for much of the match.
He added: "I am very pleased because we won against a very strong team. Swansea aren't easy to play against because they have a lot of possession of the ball.
"We played too quickly in the first half and after the goal we lost the ball too much. We defended very well and they had just one clear chance. We improved in the second half and scored twice more."