The Bosnia-Herzegovina international striker has been linked with a host of clubs across Europe – including the likes of Inter, Borussia Dortmund and Arsenal – after struggling to hold down a first-team place at the Etihad Stadium.
Alvaro Negredo's arrival during the close-season and the form of Sergio Aguero has meant the 27-year-old has only started four games in the Premier League and three in the UEFA Champions League under Pellegrini.
Dzeko has scored three league goals with a further two in the UEFA Champions League and Pellegrini believes he still has a role to play.
"No, that is not the case (that Dzeko could be sold)," he said.
"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."
City's match against Aston Villa in September represents Dzeko's last Premier League start, although he did line-up alongside Aguero in last Wednesday's Champions League victory over Viktoria Plzen.
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