The Argentine was substituted at half-time during his side's 4-2 victory over Viktoria Plzen but his manager explains that he had always planned to withdraw the striker
Aguero extended his remarkable start to the season with the opening goal, his 15th in his last 12 appearances, from the penalty spot as City made hard work of overcoming their Czech opponents.
The Argentina international was replaced at half-time by Jesus Navas but Pellegrini revealed that it was always the plan to give the former Atletico Madrid man a rest ahead of Sunday's visit of Swansea City.
"Aguero hasn't any problems," the Chilean told reporters after the game. "He knew from the beginning he was just going to play 45 minutes."
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"I think for the moment the Premier League [is more important]," he told Sky Sports. "We are going to play in Munich, we will try to win, but winning 3-0 in Bayern is not easy.
"It's important but more important is the next game [after that] when we play Arsenal."
The English side were twice pegged back by Plzen as first Tomas Hornava and then Stanislav Tecl breached their back line and Pellegrini recognises that his team's free-scoring nature must not see them stall in their defensive progress.
"Always when our team concede goals is a concern for me because we are not doing something well," he remarked. "[On Wednesday] Plzen scored two goals and had two or three more chances. Last game CSKA scored [twice]. It's important also to score but we must continue to improve."