Aguero has made a blistering start to the season and is the Premier League's top scorer with 10 goals in 12 appearances, including doubles against Tottenham, West Ham and Manchester United.
The Argentina international has netted an additional six goals in the UEFA Champions League and is already one behind the 17 he managed in all competitions in 2012-13 for City.
That form has sparked rumours of potential interest from Real, but Pellegrini insists it is purely paper talk.
"I don’t know anything about that and I don’t think that Sergio wants to leave so that is not a problem for us," said Pellegrini after Sunday's 3-0 win over Swansea City.
"I don’t believe in that thing."
Aguero joined City from Atletico Madrid in July 2011 and won the Premier League title at the end of his first season in England.
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