The Argentinian hotshot, who has bagged 29 goals in 30 appearances, has been linked with moves to Barcelona and Real Madrid, who are both desperate to add the world-class goalscorer to their ranks.
The Citizens head to the Nou Camp on Wednesday with a 2-0 deficit to overturn, but Pellegrini insists Aguero won't be distracted by the bright Spanish lights.
"I don't think the idea of Sergio is to leave Manchester City," he said.
"Sergio is very happy here. You never know what can happen in the future, but he is a very important player here.
"Big clubs do not sell their best players and I don't think Sergio will be going anywhere."
The Chilean has also opened up about City's English player crisis, but believes that the club will be able to meet the Premier League's homegrown criteria next season.
Joleon Lescott is set to leave on a free transfer this summer as question marks remain over the futures of James Milner, Micah Richards and Jack Rodwell.
However Pellegrini is adamant that fans of the club have nothing to be concerned about.
"It's very difficult to have important English players in every team. They are very expensive and you don't have too many English players.
"All the important teams have English players in their side but, if you want to buy an English player, it is difficult.
"There are English players in all the big teams here. But it is not easy to bring another to Manchester City because who will sell?
"We're in England. I know it is important for English football to have English players in every team.
"We know we have to have a certain amount of English players, so we'll see the way we do the list next year.
"Richards, Rodwell, Milner and (Joe) Hart all have contracts with the club. Only Lescott finishes his contract – maybe he will not continue here."
