Reports have suggested that Pellegrini could be axed after the Spanish giants crashed out of the Champions League to Lyon on Wednesday.
Valdano told Spanish television: “Yes, he has a contract, which is why the club’s plans are for Manuel to continue being the coach of Real Madrid.
“Pellegrini is the coach of Real Madrid, we respect him, of course, and we trust in his work.
“There is still a lot to be done.”
He added: “It’s is a sad night because we were very excited about this competition but we are not going to exaggerate the situation on the basis of one match.”
