Dzeko, 27, has bagged seven goals and two assists in 14 appearances across all competitions for City this season, but has not started an English Premier League match since the 3-2 defeat at Aston Villa on 28 September.
The Bosnia and Herzegovina international has been relegated to the substitutes’ bench due in large part to the emerging strike partnership of Alvaro Negredo and Sergio Aguero.
Dzeko has been the subject of reported interest from a host of top European clubs, including the likes of Arsenal, Borussia Dortmund and Internazionale, in recent weeks, and rightfully so.
However, Pellegrini is not willing to offload the 27-year-old ace in the January transfer window.
“No, that is not the case [that Dzeko could be sold],” said Pellegrini.
“I put my trust in him before the season and I have just as much trust in him now.
“It is very important for this club to have a good squad because we have a lot of games to play from now until April and, if we want to win trophies, we need important players.
“Maybe at the moment he is not playing as much as he would like, but he remains an important part of the squad.”
Meanwhile, Stevan Jovetic — who joined City from Fiorentina in a deal worth £22 million in the summer — has made just five first-team appearances for the Sky Blues this term.
Pellegrini and co. will travel to the West Midlands to face West Bromwich Albion at the Hawthorns on Wednesday evening.
City, who have netted a Premier League-leading 37 goals in the top-flight in 2013/14 (10 more than any other side), are big favourites to take all three points despite their less than stellar form away from the Etihad Stadium.
Morata plays down exit rumours
Real Madrid striker Alvaro Morata has distanced himself from speculation linking him with a loan move to North London in January.
Recent reports have suggested Arsenal and Tottenham Hotspur are interested in bringing in Morata on loan in the January transfer window.
The Gunners first-team strikeforce currently consists of Lukas Podolski, Nicklas Bendtner, Olivier Giroud, Park Chu-Young, Theo Walcott and Yaya Sanogo, while Spurs are limited with Emmanuel Adebayor, Jermain Defoe and Roberto Soldado.
Both sides could use the Spain Under-21 international, but the player in question has made it clear he is not going anywhere.
“I only think about succeeding at Real Madrid,” Morata told AS.
“Every day I work hard to earn myself a place in the team, but I know that I have had the support of Ancelotti since the first day that he came here.
“To Jose Mourinho I owe a great deal for promoting me up to the first team and I will always have a special feeling towards him. He is an incredible coach.”