The England international has made just 14 appearances this term after finding himself down the pecking order at the Etihad Stadium.
In a World Cup year, Lescott has been linked with a move away to secure regular first-team football, with clubs including injury-hit West Ham thought to be interested in the player.
But Pellegrini is looking to keep hold of the experienced defender as he goes for trophies on four fronts.
"He is not going for the moment," said the City boss, quoted in The Sun:
"Joleon Lescott is a very important player for us. He finishes his contract in June. We will see what happens in the future."
City take on West Ham in their Capital One Cup semi-final first leg on Wednesday and Pellegrini is thinking only of this game and not a potential trip to Wembley.
He added: "I think it is important for the club, for the team, for everyone, to play a semi-final against West Ham and try to win.
"After we beat West Ham we can talk about the final at Wembley, but we have two steps more to beat West Ham here and then in London.
"I repeat, after we finish the semi-final, we can talk about the trophy."
With a formidable home record behind them and some outstanding goalscoring form, City are capable of putting the game beyond the beleaguered Hammers in the first leg.
But Pellegrini, whose side have scored 86 goals this season, added: "We are not thinking about that. We are thinking first to win.
"We have the second leg to play and in football it is never finished.
"We are thinking about winning the two games. We must win here and then see what we can do away."
Pellegrini has given no indication which goalkeeper will start.
Costel Pantilimon, who is now once again second choice to Joe Hart, returned for last weekend's FA Cup draw at Blackburn but was at fault for Rovers' equaliser.
Pellegrini says that error will not affect his decision.
He said: "I analysed the performance with the players and we will see which goalkeeper will start.
"I don't know exactly how many changes but we will make some.
"I don't think that because one player makes a mistake he must lose his place.
"I have a lot of different things for why I take the decision which one will play."