Aguero, who moved from Atletico Madrid for £38million in 2011, is contracted to City until summer 2017.
Manuel Pellegrini: "I don't know anything about rumours.
"I don't think Sergio wants to leave. That is not a problem for us. I don't believe in that."
"Aguero and Yaya Toure are very happy here and they will stay with us."
City are back in Premier League action as they travel to West Brom in midweek.
Pellegrini is hopeful captain Vincent Kompany will be fit to return after two months out with a thigh injury.
He said: "We will see but I hope that he will come."
Source: Manchester City MAD