Pellegrini is widely believed to be set to agree to become City’s new coach, replacing Roberto Mancini.
“Professionally, I am living my last hours in Málaga,” said Pellegrini. “On Sunday I will manage my last game as Málaga coach at La Rosaleda.
“It will be a very emotional occasion and we hope to leave with the club qualified for Europe, with the mission completed and with the misfortune that the project changed.
“The agreement with the club has been gratifying and satisfactory. Everyone has the right to continue on their own path. I am not leaving because of financial ambition but because of a sporting project that will allow me to feel fulfilled.”