The Chilean coach feels the Liga outfit have already surprised everybody with their success, and is keen to keep up their good form against BVB
The Boquerones finished ahead of AC Milan, Zenit St Petersburg and Anderlecht to qualify for the knockout stages of the competition in their maiden campaign, before seeing off Porto to book their ticket for the quarter-finals.
"Nobody gave us a chance at the start and yet the players have responded so well. We eliminated Porto and that represented a huge achievement for the side. The merits this season have been won out on the pitch," Pellegrini stated at the pre-match press conference.
"I am delighted to be playing Dortmund as creative as they are. The fans will see a great game. Both teams like to have the ball and are very powerful.
"We will try to minimise their strengths while trying to play to ours. Dortmund have a great team, they have five players who start for the German national side. They have huge potential, are very creative in midfield but I think their main strength is in attack.
"You never know what the result in football will be, we can't know exactly what will happen. What I do know is that it is so important to get a good result to take into the away leg."
Wednesday's first leg in Malaga is scheduled to kick off at 20:45.