The 40-year-old trainer realises that the German giants will pose a stern test for Los Che to overcome, but is confident his players are ready for Wednesday's curtain raiser.
"We have to avoid showing them too much respect, that would be the biggest mistake we could make. We also have to refrain from making too many small errors," Pellegrino remarked at a press conference.
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"My boys are ready for the game. We are well prepared and we know our opponents quite well.
"I am not thinking too much about Bayern. They will be our opponents, but I am concentrating on my own team and what we can do."
The clash of the 2001 Champions League finalists is scheduled to kick off at 20:45CET.