The Spaniard scored twice in the 3-0 semi-final second leg success over West Ham with Sergio Aguero also on target to complete a 9-0 aggregate romp.
But Negredo left the field at the final whistle holding his shoulder after tumbling over a challenge from James Tomkins and spending a spell off the pitch requiring treatment.
Pellegrini confirmed that the £20million summer signing from Sevilla, who now has 21 goals for his new club, would be assessed again on Wednesday morning.
He told Sky Sports: "He has some problems with his shoulder, we will see tomorrow if it is serious or not.
"At the moment he has a pain, but we don't know what kind of pain it is."
Pellegrini praised the professionalism of his side as they booked a Wembley meeting on March 2 against either Manchester United or Sunderland, with the Chilean admitting he does not mind who they meet.
He added: "It was a very good performance. It is easy to think that the game is finished at 6-0, but it is important to reach the final winning all your games.
"We have scored 19 goals and just conceded one so it was very important to finish in the same way.
"I hope now in the final we can win it. Wembley's special for everyone. I think both teams would be difficult. We will see tomorrow against who we will play."
Teenager Marcos Lopes was named man of the match after setting up the first two goals, while Sergio Aguero made his first start after a spell on the sidelines through injury.
Pellegrini said of Lopes: "He didn't impress me, because I see him working every day.
"I think he is a very good player, he has a very good future and it is important for him to play in the way he played today.
"For Kun (Aguero) it was very useful. He played nearly 60 minutes, he was playing just 15 or 20 minutes in the games before, so for him it is very useful for the future."