The Chilean refused to acknowledge the Chelsea boss after the game, heading straight down the tunnel in west London after seeing Fernando Torres pounce on a defensive mix-up late on to secure victory for the Blues.
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Pellegrini's men, meanwhile, drop to seventh after suffering their third Premier League defeat of the season already and the manager felt his side were unlucky to lose.
"We had complete control of the game. We repeat the story of our other two [league] defeats," he told reporters.
However, the City boss revealed little when asked about his reaction to Torres' winner, which occurred after a mix-up between Matija Nastasic and goalkeeper Joe Hart.
"You must ask him how his confidence is," he added.
"We will talk during the week. We lost the game and we will talk, for me, just internally with the players.
"From tomorrow we are going to see which is the best way to arrange the thing that's repeated in the three matches that we have lost playing away.
"We are losing stupid points. I think that of the three defeats that we've had away, we deserved not one of them. But the reality is that we have [lost].
"For the most part I am very happy with how the team is playing everywhere – at home or away I think we have a way to play football."