The striker has scored 15 goals in his last 13 appearances and impressed again during Sunday's comfortable 3-0 Premier League win over Swansea at the Etihad Stadium.
The Argentina international's form has reignited rumours of a move at the end of the season, and he is reportedly still top of Real Madrid's list of targets for the summer.
But Pellegrini is confident the 25-year-old, who is under contract with City until the end of the 2016/17 season, will be going nowhere next year.
Speaking after the win over Swansea, the City boss said: "I don't know anything about that. I don't think Sergio wants to leave. That is not a problem for us. I don't believe in that."
It is little more than a week since Pellegrini was last asked to comment on the matter, after both Aguero and team-mate Yaya Toure - another key player linked with a move - had spoken of their commitment to City.
He said then: "Both of them are very happy here and they will stay with us."
City are back in Premier League action as they travel to West Brom in midweek, and Pellegrini expects captain Vincent Kompany to be available for selection after two months out with a thigh injury.
He said: "We will see but I hope that he will come."