The 41-year-old coach was pleased with his side's display against the Bundesliga leaders, and stressed the most important thing is that they have now secured qualification
The Liga side were reduced to 10 men even before the interval when Antonio Barragan received his marching orders, but they were never really troubled by Bayern in the remainder of the game as they kept the Bavarians at bay relatively easy.
The result confirms Los Che's place in the knockout stage of the competition and Pellegrino was delighted to have sealed a place in the next round.
"It was a beautiful game on our part and a pity in the end that we didn't manage to win it. I saw a lot of quality in my team. We had the intelligence to try to look for various ways to break Bayern down," Pellegrino said at a press conference.
"They played with three attackers and are a side that are used to having the ball all the time. I thought they would look to control the game but we put in a huge effort and at the end my players are very tired.
"Obviously we will try to win the last match, but the important thing right now is that we are through. I am very satisfied. My players gave everything and enjoyed a great night in a game that demanded maximum effort against a first-class rival."
Valencia take on Lille on matchday six in their final Group F encounter.