The Boquerones have set their sights on the full three points when they take on the Serie A powerhouse at the Giuseppe Meazza as they target qualification to the last 16
The Primera Division representatives recorded a 1-0 home win over the Rossoneri two weeks ago, and they will be looking to maintain their perfect record in European club football's elite competition at San Siro.
"If we play for a draw, we will lose. We'll try to win and play our game," Pellegrini stated at a press conference.
"Milan have a great tradition and history – much more illustrious than Malaga – but we have nine points on the board, and it won't be history that takes to the field.
"It will be very difficult for us, but I'm not worried. Their success against Chievo took the pressure off them a bit, but they will still be under more pressure than us."
The Malaga boss then singled out Stephan El Shaarawy as Milan's main attacking threat, but stressed that his side have an equally impressive talent in Isco.
"El Shaarawy is very strong but Isco has a lot of quality too."
Tuesday's match at the San Siro kicks off at 20:45CET.