Pellegrini spent a year at Madrid before leaving, despite winning a then record points total for the club that season.
“I have no personal motivation in this game,” he said. “I have no relationship with Mourinho. This game is important for Malaga, perhaps another would give importance to their individual part, but the personal side is not important for me.
“I can’t answer for what happens in Madrid, I left there two years ago. Ask the President, the Coach, their fans. I’m very happy in Malaga, more than I have ever been.”