The Manchester City boss takes his side north to Newcastle on Sunday looking to extend their unbeaten run to 15 matches.
City, who all-but secured their place in the Capital One Cup final with a 6-0 first-leg drubbing of West Ham in midweek, have not tasted defeat since a 1-0 loss at Sunderland at the start of November.
The run has taken them to within one point of Arsenal at the top of the table but only eight points separate the Gunners from sixth-placed Tottenham and Pellegrini believes the race will get tighter as the season goes on.
"We are playing very well at the moment but we are just in the middle of the season," said the Chilean. "So that makes it very important for us to finish the season in the same way.
"We have very important games coming up in the next few days and it will be a very close fight until the end of the season with another four or five clubs involved.
"Our game against Blackburn Rovers is one we must win otherwise we are out of the cup, although maybe in the Capital One Cup we took a big step towards the final.
"After Februrary we start the Champions League again so it's very important for us to continue playing in the creative way we have been.
"The players like to play as a creative team and not as a destroying team who just score one goal and try to defend it. We try to work all week like that before playing the same way in the match at the weekend.
"I hope we can still get better as it is very important to win titles but also not to make mistakes in vital games which is why every game is a test for all of us.
"It doesn't matter who we play, what is important is the whole squad can continue to play the same way no matter who is in the team."
Watch Newcastle take on Manchester City live from St James' Park at 1.30pm this Sunday on Sky Sports 1 and Sky 3D