The Malaga goalkeeper recently penned a new contract to stay at the club until 2017 after turning down interest from his former manager to join him in the Premier League
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And the 31-year-old has confirmed that Pellegrini discussed the prospect of taking his former first-choice with him to the Premier League before Caballero decided to remain in La Liga.
The keeper told The Sun: "I talked with Manuel Pellegrini before he left Malaga. I knew of his intention to take me with him to Manchester City.
"But I was unsure whether he would stick with the same keepers he had already."
Caballero, who arrived at La Rosaleda from Elche in 2011, recently agreed a contract extension to stay at Malaga until 2017.