The English club have been linked with a move for former boss Jose Mourinho since Benitez arrived after fans of the club have failed to be excited by the poor run of results recently, however, with Mourinho's position at Real Madrid unknown and links growing over a return to Inter, the club have now turned their attention to Pellegrini.
The Chilean boss, whose contract runs out in June 2015 is unsure of his place at the club after financial trouble continue to put strain of the coaching and playing staff and his agent, Jesus Martinez has told media that he would love the chance to manage in England.
"Our first intention is to respect our commitment, but it also depends on what the conditions are, " he told El Mercurio.
"We had a formal offer from Roma, but we rejected it. It was less than 15 days ago, but we discarded it outright because we are in the middle of the season.
"Chelsea and other clubs have asked, but only through intermediaries, nothing official. Manuel would love to coach in the English Premier League, as he would in Germany, Italy and other important leagues.
"There's plenty of time to analyse what we will do next season."
Meanwhile, another Malaga employee could join the club with news that Chelsea have first option on Spanish international, Isco.
El Confidencial broke the news in January that Lucas Piazon’s loan move from Chelsea to Malaga included a first option clause for Isco, saying:
“El Confidential have been told that Chelsea have reached a preferential agreement with Malaga (for Isco). So, the coaching team led by Rafa Benitez will have priority over other clubs when signing Isco.”
Malaga have been surrounded by financial rumours for some time and have been given a ban from European football bu UEFA for next season, should they qualify, so the sale of Isco is getting more and more likely.
image: © Tom Cuppens