Champions League in midweek, but he was then sent off as City crashed to a 2-1 defeat.
Reports emerged that City were prepared to listen to offers for the former Barcelona midfielder, who will enter the final two-years of his contract in the summer.
The 31-year-old has been a key player for Pellegrini's side since his arrival in 2010, but has performed below his usual high standards for much of the current season.
Paris St Germain have been linked with the Ivory Coast international but Pellegrini is adamant the 31-year-old will be staying.
Pellegrini said: "There must be a lot of reports telling the story that Yaya will be sold. Maybe it is all the other teams that want Manchester City to be a weaker team.
"Yaya is a very important player. He played very well in the first half against CSKA - he scored a goal. In the second half he made a mistake and he was sent off but - never in my mind - I am sure nobody at the club is talking about selling Yaya Toure.
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Toure was outstanding as City won the Barclays Premier League last season, scoring 20 goals in the competition.
Problems began in the summer, however, as he voiced criticisms of the club and then became embroiled in a row over how his birthday was celebrated.
There was also tragedy as his brother Ibrahim lost his battle with cancer and earlier this week he was the victim of racial abuse after reactivating his Twitter account.
His form on the pitch is part-reflected in City's underwhelming start to the season. City are yet to hit their stride in the Premier League and are facing early elimination from the Champions League.
Last Sunday's derby victory over Manchester United was City's only win in five games.
Frank Lampard could return from a thigh injury alongside Toure against QPR on Saturday, but captain Vincent Kompany, fellow defender Aleksandar Kolarov and Spain attacker David Silva have all been ruled out.