The Chilean has admitted that he will soon leave the Andalusian club but emphasised that he was going to Manchester City to fulfil sporting ambitions
The Chilean the No.1 candidate to replace Roberto Mancini, and Goal understands he is likely to bring playmaker Isco with him to the Etihad Stadium.
"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 by the project'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 economic ambition but a sporting project which allows me to feel fulfilled."
City ended the season without silverware, finishing as runners-up in both the Premier League and FA Cup.
Pellegrini has previously coached the likes of Villarreal and Real Madrid.