The Manchester City manager spent one year in charge at the Santiago Bernabeu between 2009 and 2010.
However, after a trophy-less season - despite maintaining a 75 percent win rate - he was dismissed from the role by Florentino Perez.
Benitez went the same way this week, albeit without having the chance to complete the season.
“At least I finished the year!,” Pellegrini said at a news conference on Tuesday
READ MORE | 'Zidane NOT Madrid's first choice to replace Benitez'
"I knew from the beginning I was not to continue for the next year.
"There were some important differences with the president [Perez], but it is not strange when you see what happened in Real Madrid in the last five or six years."
However, the Chilean did go onto send the sacked manager his sympathies.
“I’m sorry for Rafa Benitez, he's a manager I respect, but I'm not surprised.”
Zinedine Zidane has replaced the former Liverpool boss in the Spanish capital and the World Cup winner gave his first press conference on Tuesday.
His first task in charge of the 10-time European champions will be to pick up three points against Deportivo La Coruna this weekend.