City begin their FA Cup quest at Blackburn this weekend with challenges very much alive on three other fronts.
At the midpoint of the season, City are a point off the top of the Barclays Premier League, through to the last 16 of the Champions League and preparing for a Capital One Cup semi-final next week.
With a strong squad at his disposal, Pellegrini sees no reason why he should not aim to win all four competitions even if - at this stage - it is unrealistic to think seriously in those terms.
He said: "For us, our target is always to win all the competitions.
"I know it is not easy and we have a lot of strong teams in every competition, but I think a big team with a winning mentality and an ambitious mentality must try to do it.
"But it is not a moment to talk about that. We must be realistic.
"We have had just half of the season.
"I am very happy in the moment we are and the way we are playing but the second half of the season is the most important for us to win.
"I am not thinking, and all the players are not thinking, about winning the four trophies. We are just thinking the next game.
"The important thing is to win at Blackburn."
City's season has gathered momentum in an unbeaten run of 12 games.
December saw them beat Arsenal 6-3, claim a famous win at Bayern Munich and start to address their indifferent Premier League away form.
That should breed confidence for the cup business ahead in the next week, with a League Cup semi-final against West Ham following the Blackburn trip, but Pellegrini takes nothing for granted.
He said: "We must repeat those performances. That is the important thing, to repeat in the right moments.
"We are in the second half of the season. Every (cup) competition we are playing is knock-out - if you lose at Blackburn you are out of the FA Cup.
"If you lose against West Ham you are out of the Capital One.
"It is very important, every game, to give our best performance as a team.
"Of course it is very difficult, it is not easy to try to play in all the competitions at a high level because we play too often.
"At the start of the season I said I wanted two players for each position because we have to play a lot of games, but at the moment we just have the players to have a squad list with 18.
"We have had a lot of injuries during the season but we will see what happens."
City are currently without Sergio Aguero, Micah Richards, Martin Demichelis, Stevan Jovetic and Jack Rodwell.
Costel Pantilimon is set to return in goal at Ewood Park in place of Joe Hart.
Pantilimon played seven Premier League games after Hart was dropped in November but the England goalkeeper recently regained his place.
Pellegrini now wants to give Pantilimon another chance and the manager has been pleased with the Romanian's attitude since he reverted to Hart.
He said: "(He took it) very well, without any problem. I think it was useful for him to play seven games in the Premier League. He had never done it before.
"He is working well, so I trust in his performance for tomorrow."