The Venezuelan attacker has impressed for the Andalusian side, and played a key role in helping the Spanish team finish in the Champions League qualification places.
Chelsea are believed to have identified Rondon as a possible replacement for Didier Drogba, whilst Arsenal and Liverpool have also been linked with an approach for the South American.
Pellegrini is keen to keep Rondon but has admitted that the player’s future is unsure.
“Rondon has had substantial offers from both Germany and England,” the trainer told AS, translated to English by Sky Sports.
“To stay here, to have time to demonstrate his worth, it has been important to Malaga and hopefully we can have him for longer.
“It is difficult to know what will happen,” he concluded.
By Gareth McKnight