Aguero has scored 31 goals in all competitions this year and is on track to win the Premier League Golden Boot award with his haul of 25 goals. As a result of this, he has been linked with a potential move to Spanish giants Real Madrid.
But, Pellegrini made it clear that Aguero will not be leaving the Etihad Stadium as he is not for sale.
"We are not a selling team," Pellegrini told reporters. "Sergio is very happy here.
"I think he is one of the top five players in the world. He's improved."
Pellegrini was also astounded to find out that Aguero had been snubbed from the PFA Premier League Team of the Year.
Chelsea's Diego Costa and Tottenham's Harry Kane were chosen ahead of the leading scorer and Pellegrini reiterated that he couldn't understand why Aguero was left out.
"I don't know the way they choose the PFA team, so I can't talk about it," he said. "All I can say is that Kun must be in every best team."