City are through to the Capital One Cup final thanks to a 9-0 aggregate win over West Ham United on Wednesday, while they are still in the Champions League and the FA Cup. The Citizens also sit just a point behind leaders Arsenal in the Premier League.
"I'm very proud of the team that we are still in four competitions," Pellegrini said. "We are not thinking about that (winning all four competitions). We are thinking just to win every match.
"Now we've finished with the Capital One Cup until March. It's very important to continue in the FA Cup, so we must win against Watford on Saturday. We'll continue with the same winning and ambitious mentality. We have a lot of work to do. In the FA Cup we are just in the fourth round.
"In the Champions League we have a tough game against Barcelona. The Premier League's very close and it will still be close till the end between four or five teams. At the moment we are happy [with] the way we are doing things. We must continue in the future the same way."
City host Watford at the Etihad in the FA Cup on Saturday.