The Saints will officially offload their Dutch centre-back to Liverpool on Monday in a £75m transfer, making him the most expensive defender of all time.
Pellegrino is in need of new recruits across the field following a disappointing first half to the campaign, with Southampton just two points above the dropzone heading into the New Year, and the 46-year-old already has some options in mind.
"Without Virgil we have to try and think about the future and bring to the squad a couple of targets to improve and try to be stronger," he told reporters.
"We never know [how busy they will be] because I can't control the market. It depends the possibilities we will have. It's not easy because in December important players are not easy to bring in. We have opportunities and we have to be ready."