Asked yesterday why he had said he would not take such a job, he replied: "Because I wouldn't. Because I'm in a situation where I can choose. Some people can't choose."
Despite insisting he had "no problems" with Pellegrini, Mourinho could not even bring himself to give his predecessor at Real credit for the players - such as Cristiano Ronaldo - he inherited from the Chilean.
"Him?" the Portuguese asked when that was suggested, in an apparent effort to highlight the fact Real managers had far less say over transfers until he took charge.
Such sniping in the Mourinho-Pellegrini relationship is far from one-way traffic. The Chilean once hit out at coaches who are interested only in results in what was widely perceived as an attack on his rival. Pellegrini refused to be drawn into a new war of words yesterday but he insisted he left Mourinho a good team at Real and rejected any suggestion he was not inundated with offers following his departure.
"I had a lot of chances to manage different clubs after Real Madrid and I have taken the decision of my life to go to Malaga. I am very happy. Nobody knows where every manager wants to manage or where he wants to be."
Pellegrini, who might have beaten Mourinho to the Chelsea job had talks with the club earlier this year progressed, admitted the pair were anything but close.
"I don't know him. He worked in Spain, I worked in another club. We played Real Madrid against Malaga. Nothing more, I don't have any complaint about him."
The Chilean suggested he and Mourinho had "a different way of thinking about life".
Both managers denied that tonight's game could prove decisive in the title race, with the sides separated by just a point in the table, Chelsea second and City fourth.
Mourinho, who has never lost a Premier League match at Stamford Bridge, said of City: "Everybody knows they lost a couple of games that, normally, they wouldn't. That's football. We lost against Everton, and United lost to West Brom, Spurs to West Ham, Arsenal to Villa. Everybody is losing matches, some of them unexpectedly."