The former Chelsea star, who joined City on a short-term loan from MLS side New York City in the summer, scored four goals in September.
"For me it is maybe not a surprise because I know his quality," Pellegrini told reporters.
"When you have the age of Frank Lampard you are not able to play three games in a week but when you have so great a player, you can resolve a lot of problems that we have during the game and I think that Frank is doing these duties at this moment. I am very happy with him."
The 36-year-old is due to leave City in January.