The Spanish side's coach states that his players are going into the Champions League clash against the Bavarians with a positive attitude, aiming to win Group F
The two sides come face-to-face at the Mestalla on Tuesday evening and, despite the Bundesliga outfit currently topping Group F due to their 2-1 victory over los Che in September, the 41-year old coach says his men are desperate to get revenge and go through in first.
"We have nothing to fear," he told Uefa.com. "It will be a top-class match which will take a lot of effort, so we hope to do well enough to get the victory. We are getting better every day, although I am aware that there are things we still need to improve on.
"We are on the right track and we must continue working to achieve our goals. We are a competitive team, and when we have to make changes we will, and hopefully this game will be no exception to that."
Pellegrino praised die Roten's work when in and out of possession and believes that Valencia need to put in s solid performance in all areas of the pitch to succeed against Jupp Heynckes' men.
"Bayern work very well with or without the ball. We should not make the same mistakes that we made in Munich," he continued.
"We must play a complete game to make it hard for Bayern. I would not settle for a draw when we have the chance to finish top of the group.
"We must defend and attack well, and play to our strengths. The team are in good spirits, and hopefully the fans will be after the game."