The Andalusian side allegedly owe 40 per cent of their players' wages, while it is understood that they have been reported to Uefa by Villarreal over an outstanding bill of €3.5 million concerning the transfer of Santi Cazorla.
Additionally, Spanish sources suggested on Saturday evening that the club's Qatari owner, Sheikh Abdullah Al Thani, is considering selling the club to an Albanian oil magnate.
And Pellegrini admitted to being worried about the rumours, but stated that the players are trying to concentrate on their overseas preparations for the new season.
"We are focused on sporting matters, but when there are so many rumours it is obvious that the team is affected, especially considering we are not in Spain," he is quoted as saying by AS.
"But we are calm because we have been working very well. I will wait until we return to Spain to see which rumours are right and which rumours are not.
"We are trying to distance ourselves from that subject, the truth is that until we know for sure what is going on, it is best not to say anything.
"We will arrive in Spain on Tuesday and then we will see what we find."
Malaga, who finished fourth in La Liga last season, will play in the Champions League play-off round.