The Andalusians are facing financial issues meaning the Chilean's departure from La Rosaleda looks increasingly likely with Manchester City in the frame for his signature.
The Andalusians have been plagued with financial difficulties, leading to their ban from European competition next season after failure to pay outstanding bills.
And, despite stressing that he wants to stay, the Chilean coach has revealed it may not be possible given the monetary current situation which has been rumored to have caught the attention of Manchester City.
"I don't think any of us really want to leave Malaga," Pellegrini told the media. "Everyone would prefer to stay but, unfortunately, the circumstances we are in don't allow that.
"I have already made it clear that it is not ideal to end the season in this way. We are in unusual circumstances."
The Chilean, who guided his side to the Champions League quarterfinals this season, added that speculation linking him to other clubs is normal at this stage of the season.
He insists that he remains focused on helping Malaga - currently sixth in La Liga - achieve a European place, should UEFA overturn its decision to exclude the club from European competition.
"Being linked to other clubs doesn't annoy me or make me feel uncomfortable - it's something that usually happens every year," he added. "We are just concentrating on making sure the team finishes in the European places. Malaga's main concern must to focus only on reaching the objectives we set at the start of the campaign."