The manager's men are 6-0 up in the Capital One Cup semifinals and remain involved in the FA Cup and Champions League, but he is keen to take things game by game.
City is still alive in the Champions League, FA Cup and is 6-0 up after the first leg of their Capital One Cup semifinal, as well as sitting one point adrift of leader Arsenal in the Premier League.
Pellegrini refuses to get ahead of himself, though, and claims that Saturday's meeting with Cardiff City is the only thing on his mind.
"All of the players must know that winning tomorrow is the only important thing," he said when asked by reporters about a potential quadruple. "It's not important for us to think about what happens in one or two months.
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"It's so difficult to know what will happen in the future. We will try to do a good game for the fans - so far we are doing well but every game is different. [Cardiff] only lost to Arsenal late on in the game so we are not thinking it will be an easy game."
Pellegrini is yet to make any moves in the January transfer window and stressed that he has no plans to do so at the moment.
"I know nothing about any [transfers]; we are not concerned about this at the moment," he continued. "We are just thinking about Cardiff."
Sergio Aguero came off the bench to score in City's 5-0 demolition of Blackburn on Wednesday and the City boss hopes to have the striker available for Saturday.
"He's coming from a long injury; he played just 20 minutes the other day," Pellegrini added. "He is in the squad list. We will see."