Pellegrini was already under pressure, with suggestions he does not have the support of president Florentino Perez after more than £200million of summer investment, and Wenger has been a long-term target.
The Spaniards tried to capture the Gunners boss before appointing Pellegrini last June and they are expected to renew interest in the Frenchman if they begin a new search for a fresh manager.
But Wenger has strongly stated his intentions, saying: "Leave me alone. I am always going to stay to the end of my contract and I am going (to stay at Arsenal) until 2011. There is no way I am going to break it.
"For me, it is the worst possible moment to come back on that. At the moment my focus is fully on Hull City (on Saturday) they may be less glamorous than Real Madrid, but they are much more important in my life at the moment."
He added: "It shows that £240million does not necessarily buy you the Champions League and that in Europe you have no guarantee of success.
"If you can spend that kind of money every year, you will get there in the end, but at the moment it is difficult for them to take.
"In the last five years we have been in the final, a semi-final and two quarter-finals in England we don't rate that as an achievement any more because we are used to it, but that consistency is not easy to achieve."
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