Milner took a starring role in City???s 4-1 win at Stoke on Wednesday night; heading in their second goal before going on to cover the most ground by a Premier League player this season.
The 13.56km covered by the England international prompted City supporters to noisily implore Milner stays beyond the end of the season, with the 29-year-old yet to commit to the club.
And while admitting contract negotiations can prove to be difficult, Pellegrini was adamant both he and the club favour Milner???s stay at the Etihad.
“When you are trying to sign a contract you need both parties to agree to it, so maybe that’s why it’s not so easy to get it signed,” Pellegrini said.
“But I repeat, the most important thing is that the club wants Milner to stay here, and he has to decide what he wants to do with his future.”
Having spared City???s blushes with a last-minute free kick against Hull last weekend, Milner proved pivotal at the Britannia as City powered past a resilient Stoke side to stay in touch with league leaders Chelsea.
Milner, whose contract expires at the end of the summer, has been linked with moves to Arsenal and Liverpool as well as a number of European clubs.
Top five distances covered by a Premier League player during 2014/15 season.*
James Milner???????MAN CITY v Stoke???????13.56km???????11/02/15
George Boyd ??? BURNLEY v Newcastle ??? 13.55km ??? 01/01/15
Tom Carroll ??? SWANSEA v Southampton ??? 13.47km ??? 01/02/15
George Boyd ??? BURNLEY v Stoke ??? 13.34km ??? 22/11/14
George Boyd ??? BURNLEY v Man Utd ??? 13.30km ??? 11/02/15
*Data courtesy of the EA SPORTS Player Performance Index, Official Player Ranking Index of the Premier League.