Pellegrini has been linked with Roma this week.
But he insists: I didn't go to any game, I travelled personally and with my family from one day to the next.
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"I don't know where that news came from. I'm very comfortable at Real Betis, I'd like to fulfil my contracts and I'm happy here."
On facing Celta Vigo this weekend, Pellegrini said: The club has to show seriousness to face the processes. We've been fighting for important things for almost four years. If you lose three or four games, you can't throw the processes away. Playing badly, like against Rayo Vallecano, it's normal to lose a game. But as it happens with all teams. Internally, we're safe.
"I'm focused on Celta, on finishing the season in the best possible way and focused on next season."