The Giallorossi are in need of a new boss after Luis Enrique’s lacklustre stint at the club ended, and have looked to Spain once more.
Pellegrini led the Andalusian side to fourth place in La Liga in 2011-12, and the trainer’s representative has confirmed that the Italian capital city side have been in touch.
"He's very happy with the experience in Malaga,” Jesus Martinez told Onda Cero.
“Other decisions of the club have nothing to do with him and his clear aim is to continue Malaga’s project with enthusiasm.
“Rumours of contact with Liverpool are not real. Roma called to know his situation but remember that Pellegrini has a contract to fulfill and is proud to do so.
“There is nothing to talk about in the whole affair,” he confirmed.
Pellegrini has previously enjoyed spells in La Liga with Real Madrid and Villarreal.