Pellegrini has come in for criticism after City's Premier League title prospects were hit by a 3-2 loss at leaders Liverpool and a 2-2 home draw with Sunderland.
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"It's very, very difficult to point the finger at one person," he told Sky Sports Radio.
"The players are the ones that cross the white line, have to go out and play. The manager sets the mood, sets the tempo, sets the tactics, everything else. It's a little bit of both.
"Sometimes there is no reason [for a late collapse]. Look at Sunderland, fighting for their lives, pulled off a fantastic result [on Wednesday].
"City's last couple of results haven't been [great]. It's going to be difficult for them.
"At one point you looked at Manchester City and thought: 'well, it's in their hands, they can win the league no problem' and suddenly, now, they're up against it to finish second."