Milner has been linked with a move to Liverpool on a free transfer according to reports this week, and Pellegrini updated the media on the current state of his squad.
This comes after reports linked with 29-year-old midfielder with a move to Liverpool in the summer when his contract expires.
Pellegrini told reporters at his press conference: "For the moment there is no news. I think James wants to stay and we want James here so I hope he will sign."
No comment was made about Wilfried Bony who looks set to join City from Swansea City for around £30 million, and instead focussed on the players currently at his disposal, with Vincent Kompany, Edin Dzeko and Sergio Aguero all returning to the squad to take on Everton at Goodison Park in the Premier League tomorrow.
During the trio's absence, Manchester City have managed to claw back a deficit in the title race to tie Chelsea at the top of the table just after the halfway stage of the season.
The City manager added: "We have a tough game tomorrow against Everton. They are a very difficult team with good players and a good manager.
"In the second half of the season every game will be like a final for all the teams involved in the title."