Pellegrini has seen his team suffer away defeats to Cardiff City and Aston Villa, and the Chilean is aware that they need to break their duck on the road to remain in contention at the top of the Premier League table.
The 60-year-old told reporters: "If we go and see the statistics of the games that we've played away, of course it must be a worry for us. It's a thing that we must improve and we must work hard defensively as a team.
"Of course we are worried about that; we have one point from nine, so we need to win.
"Now we play four away games in a row, so this is the best moment for us to win points, first in the Premier League against West Ham and then in the Champions League."
Manchester City face West Ham United at Upton Park, before making the trip to Russia to play CSKA Moscow in the Champions League.