The former Malaga boss questioned referee Jonas Eriksson's selection and performance in the last-16 tie with Barcelona, claiming he was not "impartial to both teams."
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Pellegrini felt his side was on the wrong end of several decisions, particularly the dismissal of Martin Demichelis and the subsequent penalty which City felt should have been a free kick on the edge of the area.
The former Real Madrid manager also said Eriksson failed to show “impartiality to both teams” and cited the Swede's failure to award Barcelona a penalty against AC Milan in last season's competition as further reason against his selection for Tuesday's match.
A statement read: "UEFA has mandated a Disciplinary Inspector to commence investigation concerning press interviews given by Pellegrini.
"Based on the outcome of this investigation a decision will be made on whether disciplinary proceedings will be opened."
Pellegrini's predecessor at the Etihad, Roberto Mancini, faced punishment from UEFA last season after a furious post-match rant at referee Peter Rasmussen, though he escaped a fine after the Danish official did not include the incident in his report.
Jose Mourinho, though, was less fortunate in 2011. The Portuguese boss, then at Madrid, criticized the performance of Wolfgang Stark after losing the Champions League semifinal first-leg clash with Barcelona, and was initially handed a five-game ban and 40,000 pound fine.
If disciplinary proceedings are opened, Pellegrini is likely to face both a significant touchline ban and fine.