After earning victories in their opening two matches of the season, the Blues are currently on a winless run of four games in all competitions.
Their last outing came on Sunday when they were held to a 1-1 draw by rivals Chelsea in the Premier League.
When asked if he was concerned by his side's form, Pellegrini told reporters: "No, because I think we are not playing badly. Especially in the games against Arsenal and Chelsea we played really well.
"Maybe against Bayern we didn't play the 90 minutes in the way I like the team to do it but it is not easy to play against Bayern away. We didn't do a bad game, but it is important for us to start getting three points in every game."
City have the chance to end their winless run on Wednesday when they host Sheffield Wednesday in the third round of the League Cup.