The Andalusians have been banned from entering European competition by UEFA for the next time they qualify after failing to meet financial requirements, a punishment the club still hopes to overturn.
"It would be a shame," Pellegrini told AS when asked about the club's troubles. "The club's future not up to me - we'll see what happens in the coming months. It is a subject that is on our minds and continues to keep us worried."
Malaga currently sits fifth in La Liga with 50 points from 31 games, one point behind Real Sociedad, and was grateful to Julio Baptista for his 93rd-minute strike to take the three points on Saturday.
"We played one of our best games of the year and the goal came at the death. It was difficult to go out of the Champions League [3-2 on aggregate against Borussia Dortmund], but physically and in terms of the football we played, the team responded," Pellegrini said.
"Julio has had a hard time, and scored a goal. I'm happy for him - he is a very important player for us. Hopefully this will increase his performance.
"I also want to thank the Malaga fans for the emotion they made me feel today. I lack the words to explain it."