Barcelona and Real Madrid are both eyeing up the Argentinean striker who has been in stunning form for City this season.
The Citizens struggled without their main man for a month while he was injured, however they won the Capital One Cup last week with Aguero back in their starting XI and he is set to keep his place today as City hope to make another trip to Wembley in the FA Cup.
Pellegrini believes Aguero has to stay with City in order to win more trophies and succeed.
“I don’t think the idea of Sergio is to leave Manchester City. When I speak with him he is very happy here,” Pellegrini said.
“You never know what can happen in the future but with so many rumours about a lot of players every day, you can’t talk about all of them.
“For me he must stay here with us as we try to win more trophies, of course. He’s a very important player and I don’t think he’ll go anywhere.”