Malaga announced last week they were undergoing a process of "internal restructuring" amid reports owner Sheikh Abdullah Bin Nassar Al-Thani, a member of the Qatar royal family, wanted to sell up after only two years.
Venezuela striker Salomon Rondon agreed to join Rubin Kazan on Sunday, while Cazorla is widely expected to join Arsenal.
And just after Maresca let slip that Cazorla was on his way out, former Arsenal forward Julio Baptista waved goodbye to both players.
"I would like to wave a goodbye wave to my good friends who are leaving, Rondon and Cazorla," the Brazilian said on Twitter. "Big hugs all round, we will miss you."
With his expensively assembled team crumbling around him, Pellegrini may also jump ship but Maresca told a news conference the Chilean was a key part of the Malaga project as they prepare to take part in the Champions League for the first time.
"He (Pellegrini) is fundamental for us, just as Cazorla and Rondon were fundamental and who have had to be sold," added the Italian, who captained Malaga for Saturday's 2-0 friendly defeat to his former club Juventus in his native Salerno.
Forward Francisco Portillo said the club's performance against Italian champions Juventus had left them with "positive feelings" despite the uncertainty over Malaga's future.
"It's not an easy situation for us and I think we are showing that we can put ourselves above all these things," added the 22-year-old.