The Blues trail the league leaders by four points in the table, with the clash at Anfield potentially crucial in deciding the eventual outcome of the title this season.
"Maybe I'm wrong, but I always think the same way as a manager – if you play to draw you will lose," The Mirror quotes Pellegrini as saying.
"So we're going to play to win. Of course, after the game if we couldn't win and we draw, it's a good result.
"But we're not going to play against Liverpool thinking we must draw. We don't know to play in that way."
City claimed a 4-1 victory over Southampton this weekend to stretch their unbeaten league run to seven games.