City, who had been aiming for an unprecedented quadruple of trophies after securing the English League Cup last weekend, were dumped out of the FA Cup in a 2-1 quarter-final defeat by second-tier Wigan Athletic at the City of Manchester Stadium.
They paid for a poor first-half display and lazy defending, and even with a fine second-half goal from Samir Nasri and a late fightback, the home side could not force a replay.
Instead Pellegrini turned his attention to Wednesday, when City travel to Barcelona needing to retrieve a two-goal deficit in the second leg of their last-16 tie to stand any chance of Champions League glory.
"We are in the last part of the season, but it's very important to react," the Chilean told BT Sport.
"We must go to Barcelona and try to continue in the Champions League, although it will be difficult.
"It's important for a big team, when you have a setback, you have to react quickly."
City are fourth in the Premier League, nine points behind leaders Chelsea but - as a result of their recent cup commitments - with three games in hand.
"I will repeat what I have said (all season)," Pellegrini said. "We are going to try to win every match we play and we will see who scores more points in the Premier League."
Wigan, pushing for a promotion playoff spot in The Championship, went 2-0 up at City with goals from Jordi Gomez and James Perch.
Manager Uwe Rosler, the German striker who led City's line as a player between 1994-98, said the victory was the best moment in his managerial career.
"Is this my greatest day in management? Probably," he said.
"This was my chance to partially replicate what Roberto Martinez did last season (when Wigan upset City in the FA Cup final in May).
"Everyone knows my tie to Man City, but I'm happy and excited to be manager of Wigan Athletic. Our main focus is getting to the playoffs."
- Sports & Recreation
- Wigan Athletic
- English League Cup
- City of Manchester Stadium