The City boss, who has Stevan Jovetic fit again, gave a dismissive response when asked about a report linking Aguero with a summer move to Barcelona.
He said: "It is exactly the same as I respond to all the other links during the whole year. We cannot talk every week about the players that are coming here to Manchester City and the players that are going out.
"He is a player of Manchester City, he is very happy here and the club is very happy with him also."
Of more concern to Pellegrini is the absence of captain Vincent Kompany this weekend for the first match of his three-game ban after the early sending-off at Hull.
The Chilean said of the Belgian: "He is the captain of the team, he is a very important player but we have had so many injuries during the whole year from different players and always we have managed to play well.
"I am sure the players who will play tomorrow instead of Vincent will play well."
Therefore, the mystery knee injury which continues to keep out centre-half Matija Nastasic will concern the City boss.
Nastasic has already missed eight matches, and the manager added: "He has at least a couple more weeks to recover.
"Of course we are concerned because the doctor doesn't know what happened with him. He made all the exams that he needs but we don't know what happened with him.
"We are taking other opinions. The doctor is in charge of that. The player feels a pain inside the knee but nobody knows what the pain is."