Los Boquerones coach is determined for his players to ensure that the club sustain their undefeated run in this year's Champions League going into their final fixture
The Liga side go into the game having won three and drawn two of their five games in the group stages of the Champions League so far, and despite already reaching the knockout stages, Pellegrini is unwilling to go easy against bottom-placed Anderlecht.
"Whenever any team goes out on the pitch, they are determined to play the best football they can," Pellegrini told the club's official website.
"From a sporting point of view it is important to win, no sportsman ever wants to lose. We will be concentrating on performing at a high level and maintaining our undefeated streak in the group stage, which is also important from an economic point of view."
He concluded: "We certainly won't be relaxed out on the pitch and will be in search of three points from the start of the match."
Anderlecht are sitting at the foot of Group C with four points from five games going into the fixture and will be looking to jump above Zenit in the standings to grab a Europa League spot.
The game is scheduled for December 4, 2012 19:45 UTC in Estadio La Rosaleda, Malaga.