The Boquerones' coach claimed the Rossoneri were only interested in defending and said the margin of victory should have been greater for the Costa del Sol outfit
The win ensured a five-point gap opened up between the sides in Group C of the Champions League.
Malaga top the table with maximum points from three games and their Chilean coach believes a gulf in class was evident when the two sides met at La Rosaleda.
"The score did not reflect the [pattern of the] match," Pellegrini told reporters after the game.
"Milan played with eight defensive players, big players against our small players."
"The way we played is the way I prefer to win."
The two teams meet again at San Siro on Tuesday, November 6, with Malaga just requiring a point to secure qualification to the Champions League round of 16.