The attacking midfielder has struggled for game time at reigning Egyptian Premier League champions Al Ahly, who signed him at the beginning of the current campaign.
Mahlambi has been the subject of transfer speculation since his agent Glyn Binkin disclosed that the Cairo-based giants are looking to send the attacker out on loan during the current Transfer Window.
However, Al Ahly have since stated that the 20-year-old will not be leaving the club.
The club's football director, Sayed Abdel Hafeez spoke to On Sport TV after the team's 3-1 win over Al Ragaa in a league game on Thursday.
"Phakamani's case is totally closed. He will continue with us," Abdel Hafeez said.
The Johannesburg-born attacker was not part of the Red Devils match day squad as goals from Walid Azarou, Bassem Ali and Islam Mohareb secured Al Ahly's victory.
Walid Soleman, Azarou and Junior Ajayi are some of the attackers, who are currently preferred ahead of Mahlambi in the star-studded team, which recently won the Egyptian Super Cup.
On Wednesday, Binkin dismissed reports indicating that Pirates had registered their interest in Mahlambi, but he did confirm that there are several unnamed clubs which are keen to sign the player on a short-term loan deal.
Pirates' Premier Soccer League (PSL) rivals Sundowns are said to be monitoring the player's situation in Egypt. The Brazilians were interested in signing Mahlambi before he joined Al Ahly four months ago.
The Red Devils reportedly paid R20 million for Mahlambi's services when they signed him from Wits and he inked a four-year deal with the club.