The Spanish side overturned a 1-0 deficit from the first leg to win 2-0 on the night and Pellegrini said that after a nervous start his side deserved the win.
"The atmosphere was incredible," UEFA.com quotes him as saying. "The supporters deserve this victory. We were coming up against a good team so we had to play a very intelligent game and we did so.
"We started a little bit nervously in the opening 25 minutes but Porto didn't have a clear chance in that time. Towards the end of the first half and into the second we started playing well.
"My players' hearts were beating fast but at the same time they had clear heads. Isco's goal brought a sense of calm and from then on we started to play well with the ball. We played a complete game."
Malaga are currently battling with Real Sociedad and Real Betis for the fourth Champions League qualifying spot in La Liga.