The Chilean has been heavily linked with a move to Manchester City following the departure of Roberto Mancini and had previously spoken about how unlikely it was that he would remain at Malaga. 

And he announced on Wednesday that he and his coaching staff will leave the club, having been there since 2010. 

"My coaching staff and I are separating from Malaga but our union with this city will be eternal," he is quoted as saying by Spanish newspaper website

"I'm going for sporting reasons," he added.

The club also confirmed Pellegrini's departure in a short statement on their official website. 
The 59-year-old guided Malaga to the UEFA Champions League semi-final this season, where they were knocked out by Borussia Dortmund.