Reports on Sunday suggested Sam Allardyce could land the England defender as the Hammers attempt to fight their way out of relegation trouble.
However, Pellegrini insisted Lescott would be staying put, for now at least.
Speaking after City's 2-0 Barclays Premier League victory at Newcastle, he 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."
Meanwhile, Newcastle manager Alan Pardew was equally adamant that he was unaware of any bid from an unnamed Qatari club for the services of Senegal international striker Papiss Cisse.
He said: "Not that I'm aware of, no. I can't confirm any bid from any club."
Cisse, a £9million signing from Freiburg in January 2012, has found himself on the periphery at St James' Park since Loic Remy's arrival on loan from QPR.
He scored 13 goals in his first 14 games for the club and 13 more last season, but has fallen in the pecking order in recent months.