The former Malaga coach is the red-hot favourite to take over from Roberto Mancini, who was sacked after winning three trophies in as many years, but failing to take City forward in Europe.
"I am not afraid of failure, I never was," Pellegrini is quoted as saying in The Sun.
"Failure is a word that has never had a place in my vocabulary and least of all now that I am totally fulfilled.
"This doesn't mean I am not as demanding of myself, nor that I think I have nothing more to achieve. Quite the contrary - I am my own harshest critic. Everyone has fears, what is important is to overcome them and not to freeze."
Pellegrini also described himself as a temperamental person, but insists that his success is based on an ability to "transmit calm".
The Chilean is tipped to be followed from Spain to England by Jose Mourinho who is expected to take charge at Chelsea. Whilst Mourinho is famed for his demonstrative passion against both players and officials, Pellegrini believes in a different approach.
"I'm a very temperamental person who has succeeded in harnessing his temperament," Pellegrini said.
"If you keep confronting referees, your opponents, the crowd, you become a showman.
"I have no interest in going over the top, nor building a part for myself in show business. One of the things I've managed to control best is to transmit calm from within, no matter what the pressure."