Lescott, who is out of contract in the summer, has been linked with a move away from the Etihad Stadium during this month's transfer window.
Tottenham and Newcastle are reportedly potential destinations for the 31-year-old, possibly on loan, but Pellegrini insists no clubs have made an approach.
When asked if there was truth in suggestions Lescott could leave this month, Pellegrini said: "Not for the moment.
"Joleon Lescott is a very important player for us.
"I understand he finishes his contract in June here.
"We will see what happens in the future but for the moment he is still here and he is a very useful player for our team."
Asked further if he could be allowed out on loan, Pellegrini, speaking at a press conference, said: "At this moment, we are not considering.
"We will see in the future, during the transfer window, what will happen."
While that could be interpreted as the Chilean not ruling out a possible move, centre-back does remain a problem area for City.
With Martin Demichelis currently injured, Lescott is the only senior back-up to first-choice pair Vincent Kompany and Matija Nastasic.
Both Kompany and Nastasic have had injury problems this season and Pellegrini might be reluctant to let Lescott leave, at least without signing a viable alternative.
One player who is likely to move out on loan is striker John Guidetti.
The progress of the Sweden Under-21 international, who had a successful loan at Feyenoord two years ago, has been blocked by injury and illness.
Pellegrini said: "I think John must go on loan, he is coming back from a long injury for about 18 months.
"Here we have (Edin) Dzeko, (Alvaro) Negredo, (Sergio) Aguero and (Stevan) Jovetic. Maybe he will not play as often as he needs so maybe it is best for him and the team."
Midfielder Jack Rodwell could face another spell on the sidelines with a hamstring injury.
The 22-year-old, who has had numerous hamstring problems in recent years, will miss Saturday's FA Cup third-round tie at Blackburn.
Pellegrini said: "Rodwell has some problem in his hamstring.
"We will see tomorrow how serious. Maybe it is a small thing but for tomorrow he is not fit."