Pellegrini signed with La Liga strugglers Malaga following his dismissal by Real at the end of last season after failing to win any trophies during the 2009-10 campaign, his first with the club.
Under Pellegrini, Real lost the league to arch rivals Barcelona by three points despite a record haul of 96 points and they were knocked out of both the Champions League and the King's Cup.
Pellegrini will face Real on Thursday for the first time since he was sacked.
Asked at a press conference if he could suffer the same fate as Pellegrini, Mourinho said: "The same thing cannot happen. You know why? Because if Madrid fire me I won't go and coach Malaga. I'd go to a big club in England or Italy."
"I have my own philosophy. That second place is the first of the last. Being second by two or ten points, scoring 500 or 200 goals, being second is the first of the last. If we are not champions, it doesn't matter," the Portuguese coach added.
After he was sacked by Real, Pellegrini reportedly had talks with English Premier League side Liverpool and was offered the post of Mexico's national team coach.
He agreed to a three-year contract with Malaga in November 2010 after the club sacked Portuguese coach Jesualdo Ferreira.
Real are in second place in the 20-team league table, seven points behind leaders Barcelona.
Malaga are in the relegation zone in 19th place with 23 points, 38 points behind Real and 45 points behind Barcelona.