Current Rossoneri boss Massimiliano Allegri, Pellegrini’s opponent on the night, is under increasing pressure at San Siro following a disappointing start to Milan’s domestic and European campaign.
Pellegrini is rumoured to be among the candidates to replace the under-fire Allegri, with former Barcelona head coach Pep Guardiola and current Zenit boss Luciano Spalletti also tipped, but he insisted his sole focus is Malaga’s plight home and abroad.
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"I want to do well at Malaga," Pellegrini told Sky Sport Italia.
"I want to get back up the Liga table where we are in eighth place, as to play in the Champions League next season too we have to do well domestically. Of course, we hope to do our best in this European journey."
Focussing on the game as a whole, Pellegrini praised his players’ attitude and resolve in the face of "a great team" before revealing that the game panned out as expected with the Spanish side gaining an early foothold before sitting back and controlling the tie.
He continued: "It was important to achieve qualification tonight and especially in such a world famous stadium against a great team.
"We spoke with the players and decided it was best to score the goal in the first half, then after the break we controlled well until Pato’s goal. We knew just what quality he has and what he can do.
"Milan were able to control the tempo of the game, but they did not create that many opportunities."