The Argentine coach watched an out-of-sorts Los Che concede four goals and admits he is partly responsible for the woeful performance but is determined to bounce back from the loss
Goals from Francisco Portillo, Javier Saviola, Roque Santa Cruz and midfielder Isco gave the Andalusians a comfortable victory over Los Che and moved them up to fourth place in La Liga.
Valencia had ensured qualification to the last 16 of the Champions League with a draw against Bayern Munich midweek but the Costa Blanca club could not replicate that type of form on Saturday leaving their coach furious at the performance.
"I feel very surprised and responsible," said Pellegrino in his post-match conference. "We cannot hide from our performance today, we played a terrible game.
"No one expected us to play that badly in such an important match against a team we consider a direct rival."
The Argentine added: “We have to take responsibility, myself and the players. We made many mistakes in possession.
"Malaga were much better, we were not in the game from beginning to end.”
The defeats leaves Valencia in 11th place four points behind Malaga, they play Llagostera in the Copa del Rey on Thursday.