The Spanish side sit top of Group C with 11 points in the European competition after five matches played, and will host fourth-placed Anderlecht on Tuesday.
The Chilean tactician has warned however of the experienced Belgian champions and has urged his side not to become complacent.
“Tomorrow is a different game, against a team with extensive Champions League experience," he told reporters at a press conference.
"There is not much difference between the Malaga of the Champions League and that of La Liga.”
Pellegrini also stressed the significance of performing on Tuesday, citing both financial reason and the side's pride.
“This game is important, from an economic point of view and because we want to go undefeated,” the ex-Villarreal tactician continued.
“We will not be relaxed, because you always come out onto the field to play for something, and anyone wanting to lose does not belong in the sport.”
Malaga are through to the final 16 of the competition already and have the luxury of being able to experiment with their side, so defender Oguchi Onyewu will make an appearance in the starting XI.“He’s a player who has taken a few months to settle in. He will have to prove himself on the field, that’s the best way to do it.”
Malaga face Anderlecht at the La Rosaleda on December 4, 20.45CET.