Pellegrini left City at the end of the season following three years in charge of the Citizens, and will be replaced by former Bayern Munich manager Pep Guardiola as of next season.
The Chilean boss won the Premier League title and two League Cups at the Etihad Stadium - trophies which have kept his reputation in tact despite a fairly poor league campaign last term.
Responding to speculation over a potential switch to the San Siro, Pellegrini’s agent says no contact with the Italian giants has been made while stating his client seeks an interesting project.
“It’s just speculation. I can assure you there has been no contact between Pellegrini and the Rossoneri. Pellegrini is looking for an interesting project, but I repeat, no contact with Milan,” Jesus Martinez told Tuttomercatoweb.
Southampton are an interesting project and have the squad capable of fighting for the top four, yet the increased competition in the Premier League means it’s also a risky job.
Pellegrini has managed top clubs such as City, Real Madrid and Villarreal and should he hold out a little longer there will no doubt be a top club abroad that will come in for his services.