The Citizens have taken just one point from their two Group E fixtures so far in the competition, and Pellegrini feels that his side need to register a victory against the Russian side on Tuesday.
He told reporters: "I always say when you want to win something you need a team that knows how to play. After that, you need to have your best performance. We have very important players and, of course, they must make the difference after the team plays in the way I like.
"So I am sure on Tuesday we will see that. Maybe against Bayern Munich we were a little bit unlucky. Against Roma we didn't play well, but I hope we start now playing in the Champions League the way we have in the last two games in the Premier League.
"We must win if we want to continue to have options to qualify for the next stage. But we are not just playing the Champions League. If we hadn't won this game, then being eight points behind Chelsea would be very difficult."