The Manchester City coach was the departing manager of Real Madrid when the Reds moved to appoint Roy Hodgson in the Anfield hot seat – despite holding initial talks with the Chilean.
Pellegrini signed a three-year deal with Malaga that same summer, and says he has never dwelt on the decision not to move to Merseyside.
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“I have no regrets about not taking Liverpool job because it gave me the chance to work at Manchester City. No regrets about that.”
Pellegrini takes his Manchester City side to Anfield this Sunday for a match that could go a long way to deciding the destiny of this year’s Premier League title.
Both teams will also mark the 25th anniversary of the Hillsborough disaster, but the Chilean has warned his players against playing the occasion.
“It will be a very emotional day but the team that has the cold mind will win the game,” Pellegrini added. “It is easy in these big games to have the motivation but it is very important to manage the anxiety.
“With an excess of anxiety you can make more mistakes. It will be decided by one or two goals. So it’s very important to have control of your minds in these moments.”
Liverpool are chasing their first domestic title since 1990, and Pellegrini believes the long wait to be crowned champions of England for a 19th time might play on the minds of his opponents.
“I can’t imagine that the Liverpool manager does not have pressure to win the title,” he continued.
“I think every manager or every team that has big players and that spends money to win the title has the same pressure every year.
“Just one point will decide the title. The pressure is the same for both teams, and for Chelsea also. Three teams will fight for it until the last day.”