Pellegrini was reacting to Juan Mata's proposed move from Chelsea to City's rivals Manchester United, and said that the current rules mean that big clubs can take their pick of the best players halfway through a season.
"Personally I don't agree that the player can go from one team to another team in the same league at this part of the year, but rules are rules and he can change clubs," BBC Sport quotes Pellegrini as saying.
"I think if a player plays for a club for more than half of the season, a club with money can take the best players from the other teams. But the rules allow it, so [I have] nothing to say."
City are currently second in the Premier League, a point behind Arsenal and one ahead of Chelsea.