Fernando Torres seized on a mix-up between the City goalkeeper and his defender to notch a late winner for Chelsea after Andre Schurrle's opener had earlier been cancelled out by Sergio Aguero.
It was City's third defeat away from home in the Premier League already this season and Pellegrini acknowledged that it was a difficult way to lose.
"I don't know if it's the worst, but one of the worst, because I thought we played well," he told Sky Sports.
"Especially in the second half we had control of the game. We made an important mistake."
Asked who should have taken charge to prevent Torres' goal, Pelegrini added: "I don't think it is the moment to say who should take the ball.
"They scored a goal and we will analyse it."
Pellegrini felt City had deserved to take at least a point from the game after carving out a number of good chances.
He said: "I think that we played a very good game. I think in the first half they had one chance and they scored, and they also had the shot that hit the crossbar.
"But I think in the second half we had two or three clear chances to score."