City were beaten 3-1 by the Gunners in Helsinki on Saturday, with Theo Walcott, Aaron Ramsey and Olivier Giroud all netting against the defeated FA Cup finalists before Alvaro Negredo pulled a goal back late on.
Despite last week saying he had "the best squad in England", Pellegrini is concerned about shoring up the central defensive post with Matija Nastasic still struggling with an ankle injury and unlikely to be fit for another six weeks.
|NASTASIC TO MISS START OF SEASON
|11/5||Manchester City are 11/5 with bet365 to win the Premier League
"If not, we have in our squad the way to resolve that problem. We had some problems defensively and we will work on that.
"It wasn't the best way to finish pre-season. I'm always concerned when we're losing 3-0 but we just lost a game in pre-season, we didn't lose three points and that's important for me."
Pellegrini insisted the lopsided scoreline was not indicative of his side's efforts during the match and, despite losing four matches during pre-season, the Chilean feels he is beginning to leave his mark on the side.
"The score didn't reflect what happened during the match. We had chances but didn't score. Arsenal had three or four chances in the whole match and scored three," the former Malaga head coach said.
"It was the pre-season I thought we would have. We are changing a lot of things, we're starting a new cycle with a different style of players. It's normal that the team will make mistakes.
"Of course the expectation is too much and that's a good thing. We all have expectations and are hopeful for the new season.
"When you make a lot of changes you need time but I'm sure we will improve the little things we have to in the next 10 days."