City twice threw away the lead and somehow lost the game despite dominating for long periods of the clash at Villa Park.
Andreas Weimann netted the winner for Villa after Karim El Ahmadi and Leandro Bacuna cancelled out goals from Yaya Toure and Edin Dzeko.
Pellegrini was at a loss to explain how his side ended up coming away from the game with nothing as they failed to build on last weekend's derby demolition of Manchester United.
Asked if the defeat was hard to take, Pellegrini told Sky Sports: "Yes, very hard because I think today we played very well - not the way we played against Cardiff, or against Stoke.
"I think today we play well. We deserved another goal, but the score says something different.
"In general, I was very happy with how my team played today.
"Twice we had the advantage in the score, but in five minutes we did two things that threw away all we did in the rest of the game.
"But football is like that and you must concentrate for 90 minutes."