Striker Dzeko has fallen down the pecking order at the Etihad Stadium this season due to the form of first-choice front pair Sergio Aguero and Alvaro Negredo.
However, with Aguero currently out with a calf injury Dzeko will have opportunities to shine and he took one such chance by scoring the winner in Saturday's hard-fought victory over Crystal Palace.
Next year will be a big one for Dzeko, a £27m signing from Wolfsburg in 2011, with Bosnia competing in the World Cup for the first time in the summer.
That has led to speculation he might seek more regular first-team football elsewhere but Pellegrini stresses he needs the 27-year-old as City seek silverware on multiple fronts.
"There was never any chance of Dzeko going in January," said Pellegrini. "He is a very important player for the team.
"If you look at the last month I think Dzeko was one of the players that played the most minutes in December.
"He has continued to a very important player for us.
"Always a player wants to play every game but it is impossible with the amount of games that we have to play.
"I think he is happy here. He is an important striker and could have a lot of offers from other clubs but there is never a chance of him leaving."
Midfielder Rodwell has struggled to establish himself at City since his £12m move from Everton in August last year, mainly due to niggling and recurring hamstring injuries which also hampered his progress at Goodison Park.
It has been suggested that City could loan him out in a bid to try to get him more top-level action but Pellegrini is not interested.
He said: "I think all the players in the squad at the moment, it is because we need them. I need all the players."
Pellegrini is now considering whether he needs to strengthen his squad during January.
He insists it is not a priority but will not rule out additions.
The Chilean said: "For the moment, we are not talking about that but we are always analysing what we need and what we don't need.
"The possibility of the transfer window is there for every club. We will see what we are going to do in the next days."