City travel to the Russian capital on Wednesday looking to bounce back from the 3-1 home defeat to defending champions Bayern Munich in their last Group D outing.
CSKA have also lost to the Germans in this season's competition, while both the Muscovites and City have defeated Czech outsiders Viktoria Plzen.
That means next week's match and the return game at the Etihad on 5 November are likely to prove crucial if they are to avoid the embarrassment of dropping out of the Champions League at the group stage for the third season in succession.
But Pellegrini refuses to save players for European action and remains determined to pick his strongest team in as many matches as possible
"I think that 50 per cent of the chances to go into the second round of the Champions League will be playing next Wednesday in Russia," he said.
"For all the managers the best thing is to keep an 11 starting when you are winning and playing well.
"But I think we must be a competitive team all year and it is very difficult to keep the same 11 starting.
"There is no priority. For me it is very important for the team to qualify for the round of 16 in the Champions League but also the Premier League is very important."
City travel to Moscow four days after the trip to West Ham in the Premier League and four days before they travel to title rivals Chelsea.
They then face a trip to St James' Park to take on Newcastle in the Capital One Cup on 30 October.