City have now lost three out of the five away fixtures that they have played this season.
"The way we lost the game was incredible," Pellegrini is quoted as saying by BBC Sport. "If you want to fight for the Premier League, we must erase these problems.
"The team is playing well. We had absolute control of the second half. We had two or three chances, we had no problems playing away."
City return to action on Wednesday when they make the trip to Newcastle United in the fourth round of the League Cup.