The Chilean has denied a deal is already in place for him to take the City job but speculation is rife he will be the man arriving at the Etihad Stadium.
"Today, I deny I am going to be the new manager of Manchester City," Pellegrini told a press conference on Sunday night.
"I have not signed an agreement with anyone, not with Manchester City, not with Roma, not with Napoli, not with PSG, not with any of the clubs who have been mentioned.
"In the next few days I hope to clarify a bit what the future will be here in the club."
Jose Mourinho is next in the betting at 13/2 and the Real Madrid chief was getting a lot of attention in the market before Mancini's departure was officially confirmed.
Carlo Ancelotti is available at 22/1 to make a return to the Premier League.
The PSG coach has recently been linked with Mourinho's job at Real Madrid, with his current's club's president, Nasser al-Khelaifi, claiming an approach has been rejected.
What was the main factor behind Roberto Mancini's sacking at Manchester City?
Poor defence of Premier League title
Transfer window mistakes
Champions League failure
Broken relationships with players