Marca, As and other Spanish media reported on Saturday, without naming the source of their information, that Malaga owner Sheikh Abdullah Bin Nassar Al-Thani - a member of the Qatar royal family - wanted to sell up after only two years.
Talks have started with Albanian oil magnate Rezart Taci while another potential buyer was Qatar Investment Authority, owner of Ligue 1 club Paris Saint Germain, As said.
"We are focused on the sporting side of things but when there are so many rumours it has to have an effect, also being away from Spain," Pellegrini said at a news conference in Caracas during the club's tour of Venezuela.
"But we are calm because we have been working very well," added the Chilean.
"We'll see when we get back to Spain, see which rumours are true and which are not.
"Until there is a certain clarity about what is going on it's not good to express opinions.
"We'll be back in Spain on Tuesday and we'll see what we find there."
Al-Thani agreed to pay 36 million euros ($44.53 million) for the Andalusian club in June 2010 and heavy investment in players helped them finish fourth last season and secure a lucrative place in the Champions League.
However, financial problems have cast doubt over Al-Thani's commitment.
The club were banned from registering new players in January until an outstanding debt to La Liga rivals Osasuna had been settled and some players complained of delays in wage payments.
The reason for the delay in paying Osasuna was "the complexity of approving budgets and transactions with foreign entities", the club said.
Malaga's preparations for the coming season have also been disrupted by reports their best player, Spain playmaker Santi Cazorla, is poised to leave by possibly joining Arsenal in the Premier League. ($1 = 0.8084 euros) (Reporting by Iain Rogers, editing by Mark Meadows)