However, Pellegrini is refusing to let his team rest on their success.
Malaga, in their debut campaign in the competition, guaranteed themselves a top-two finish in Group C with a 1-1 draw against AC Milan at the San Siro on Tuesday night.
The Spanish side had won each of their opening three matches without conceding a goal and looked set to make it four wins out of four when Eliseu put them ahead just before half-time, only for Milan to salvage a point thanks to Alexandre Pato's 73rd-minute equaliser.
Qualification for the knockout stages with two games to spare is a tremendous achievement for a Malaga side who had never finished in the top four of the Primera Division before last season, but Pellegrini wants more - including top spot in Group C.
He said: "Many people thought Malaga were just making up the numbers in the competition but we were convinced that we could get through to the last 16.
"To achieve this with two games remaining is something very important."
Pellegrini, who defied all expectations by leading Villarreal to the Champions League semi-finals in 2006, also played down any suggestion he might look to rest players for the final two matches.
He added: "We will continue competing. It's a relief for a small squad to already have the qualification in our hands. We still have to assure ourselves of first place in the group and this is the objective that we are now targeting.
"We want to go as far as our football allows. If a better team beat us because they have more quality then there is nothing we can do."