The versatile centre-half has featured in just eight of City's 21 Premier League game this season to fuel rumours that he could leave the Etihad Stadium.
A temporary switch to West Ham has been mooted, but Pellegrini insists it is premature to suggest it is a done deal, although he stopped short of ruling out a January exit altogether for the 31-year-old.
"We are not talking about any loan at the moment," Pellegrini told reporters when quizzed on Lescott in the aftermath of the 2-0 win at Newcastle United on Sunday.
"The transfer window is open until the end of January.
"We will see what happens, but for the moment Joleon stays here with the team."
City moved top of the Premier League with the triumph at St James' Park, where Lescott was an unused substitute.