The pair have some history dating back to their time in Spain, where the Portuguese replaced Pellegrini at Real Madrid after finishing second to Barcelona with a record number of points.
Mourinho announced "Second place is just the first loser" before adding: "If Madrid were to fire me, I wouldn't go to Malaga. I'd go to a top-level team in Italy or England."
Now both will come face-to-face again in England for the first time but Pellegrini is not interested in revisiting past disagreements.
"I never get involved in the moment and I will not get involved now," he said.
"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."
Asked whether they were very different characters Pellegrini added: "Maybe (we have) a different way of thinking about life."
Sunday's clash at Stamford Bridge pitches the team placed second (Chelsea) against the one in fourth ahead of the weekend's games.
Pellegrini admits it will be significant in so much as Chelsea would move four points ahead of them with a victory but he stressed it should not be viewed in terms of the title race just yet.
"Of course it is an important moment, (it is) always important playing against a team that has a lot of chance to win the Premier League," added the Chilean.
"I repeat the same thing I said when we played against Manchester United, it is a match of six points.
"They play at home, this is our third (successive) game playing away. We hope we can continue winning the same as in both (previous) games.
"This is the ninth (league) game. We have a lot of games in the future.
"It is not the important game of the year. It is an important game but it will not decide nothing."
Midfielder Samir Nasri insists they head into the fixture on a high after back-to-back victories.
"Winning at West Ham and CSKA means we will go into this game with a lot more confidence," he told mcfc.co.uk.
"It was important we started winning away in the Premier League but we know Chelsea won't be an easy game.
"I think they are more complete than they were last season - they are always a threat, especially on their own pitch and with Jose Mourinho returning, that's even more the case so we will have to be at our best if we are to get a good result."
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