The Spain international has refused to use his former coach as a scapegoat claiming the players must be held responsible for the club's poor form
The 41-year-old coach was sacked following Los Che's 5-2 thrashing at the hands of Real Sociedad, leaving them languishing in 12th place, but the striker has claimed it is the player's fault.
"When things go wrong we look to the sidelines and not at ourselves," Soldado told AS. "But now we have to think about what we [the players] can do to improve the situation.
"It is the players who have to admit the responsibility for our current situation. After what happened yesterday [Saturday] I want to apologies to all the fans."
The Spain international was reluctant to discuss Pellegrino's sacking, however, and believes the club must now move on and show the necessary desire to turn their season around.
"I do not want to be the one to asses whether it [the coach's sacking] is fair or not. The decision has been made," he added.
"There has been a change and we need to get to work. We are a small team, but we need to show heart and character on the field."