City raced into an unlikely 5-0 lead after just 35 minutes against the Italians but then switched off and allowed their opposition to score three times before the break.
And it is a lapse Pellegrini will not allow once the season begins for real, with City to face Bayern Munich in the final of Audi Cup on Thursday.
"It's not normal that we can be beating Milan 5-0 after 30 minutes," he said.
"But I didn't like the last 15 minutes of the first half because I thought we relaxed before the end of the game and in football you can't do that.
"It's better that this happens now though rather than in the Premier League so we can sort out these things before it starts."