Pellegrini's side were taught a harsh footballing lesson on Wednesday as they were swept aside by reigning European champions Bayern Munich at the Etihad Stadium.
For a club that has made its ambition to impose itself on the continental stage clear, the 3-1 loss was a definite reality check.
Yet Pellegrini, who has good experience in the competition after taking Villarreal and Malaga to the latter stages, is not writing off his side's quest.
He said: "We will try to do it. Nothing (final) has happened because we lost three points against Bayern.
"We will try to qualify from the group and if we qualify through the round of the last 16 in February, then all things can change. It will be very difficult to do it, but we will try.
"It was not our day. We conceded three goals and you can't give goals to a team like Bayern Munich, the best team in the world at this moment.
"That is too much of an advantage, but that happens sometimes and it was a pity it happened in such an important match.
"It was not a decisive match for the group but it was a very important match."
City showed their potential when they thrashed Manchester United in the Barclays Premier League a fortnight ago but there was a clear gulf in class between them and Bayern.