Realistically, it is now a three-horse race for the title this season involving City, Liverpool and Chelsea.
Pellegrini's side are four points behind leaders Liverpool, and two off Chelsea in second, although they have two games in hand on each.
This weekend they face Brendan Rodgers' side at Anfield and the Liverpool boss has suggested City are under greater pressure to win the match.
However, Pellegrini says the psychological burden is the same for all three sides and insists he is thriving on the intensity of the closest title race in years.
"I don't try to take advantage and say we don't have any pressure because we play away or they are the best team - they (Liverpool) are top of the table," said the Chilean. "That's why I have so much respect for Arsene Wenger saying Arsenal can do it.
"Afterwards, if they can't do it, then it's another problem, but if you are at an important club you can't say, 'We don't have pressure to win a title, the other clubs have it all'.
"I think the two teams have the same pressure.
"It's impossible not to enjoy a fight for the title as has happened this year in the Premier League.
"That's why we are here - fighting for the title. It's better for everyone to have three or four teams fighting for the title. I enjoy it."
Asked if the players felt the same, Pellegrini said: "Of course - if not, they cannot be important players for the national squad or for big teams."