Reports on Sunday suggested Hammers manager Sam Allardyce was on the brink of striking a deal with City to land the England defender until the end of the season.
Speaking after his team's 2-0 victory at Newcastle, Pellegrini insisted Lescott would be staying at City.
When asked if the 31-year-old was joining West Ham on loan, Pellegrini said: "No, no. I am not talking about any loan at the moment.
"I repeat, when this transfer window is over at the end of January, we will see what happens. At the moment, Joleon will stay here with the team."
Lescott, who moved to City from Everton in 2009 for £22million, has played 15 times under Pellegrini this season.