The Chilean was incensed by referee Jonas Eriksson's performance, saying he “decided the game” and questioned Uefa's decision to appoint a Swedish official for such a high-profile match.
Pellegrini felt his side were on the wrong end of several decisions, particularly the dismissal of Martin Demichelis and subsequent penalty which City felt should have been a free kick on the edge of the area.
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A statement read: "Uefa has mandated a Disciplinary Inspector to commence investigation concerning press interviews given by Pellegrini.
"Based on the outcome of this investigation a decision will be made on whether disciplinary proceedings will be opened."
Pellegrini's predecessor at the Etihad, Roberto Mancini, faced punishment from Uefa last season after a furious post-match rant at referee Peter Rasmussen, though he escaped a fine after the Danish official did not include the incident in his report.
Jose Mourinho, though, was less fortunate in 2011. The Portuguese boss, then at Madrid, criticised the performance of Wolfgang Stark after losing the Champions League semi-final first-leg clash with Barcelona, and was initially handed a five-game ban and £40,000 fine.
If disciplinary proceedings are opened, Pellegrini is likely to face both a significant touchline ban and fine.