The striker has proved a massive hit after joining City in a £38m summer switch from Atletico Madrid.
But speculation persists that Aguero wants to play for Real and only joined City as a stepping stone as Atletico will never sell to their fierce city rivals.
But Mancini says the Argentina ace is going nowhere as he has a five-year contract with the Premier League big-spenders.
The City boss told the Sunday Express: "It will be difficult for him to join Real Madrid because he has signed a five-year contract. I don't think this will happen."
Meanwhile, Mancini is delighted to be featuring in the Champions League but has hit out as City are scheduled to play away after all their group games, while rivals Manchester United will play at home.
He added: "It was important that we qualified straight into the Champions League, and since then we have brought in more good players. I am happy because we are playing well.
"I don't know what the Premier League can do (about City playing away after their Champions League games).
"But it is definitely better to play at home rather than away after the Champions League. OK, United have an advantage.
"After playing in the Champions League you need to recover. But if you are flying back from a game and then have to travel in the Premier League it becomes tough to recover. You can't train, you can only rest.
"We are happy to be in the Champions League but when you play every three days in the Premier League, the Champions League or the FA Cup it can get very, very hard."