"This will be a different game," he told reporters. "The tie is 180 minutes and as we are behind, we have to look to reverse the situation. Of course not conceding will be important.
"I got through to the semi-finals with Villarreal in the past and now with Malaga I am looking to get through to the quarter-finals. I am focused solely on that.
"We have to be calm and to manage the anxiety. Excessive nerves can lead to mistakes. Will we be looking for a goal in the first minute? Well, there are 90 minutes in which to score the goal and we have to be intelligent."
Pellegrini added that he believes Porto will try to score a goal at La Rosaleda.
"I don't think Porto will be coming here to defend their lead," he said. "They have a distinct style and won't vary much from that.
"From our part, we need to try to play without making mistakes. All of my players will be obliged to perform to the maximum of their abilities."
This is Malaga's debut campaign in the Champions League.