Pellegrini has voiced his ambition to win four trophies this season and his players, having notched up 99 goals this term, seem keen to deliver.
But as much as the Chilean is hoping for a glorious end to the season, he does not want anyone at the club getting carried away.
Pellegrini, whose side host Cardiff in the Barclays Premier League this weekend, said: "I think it is very important for all the players to know that the only important thing for us is to win tomorrow.
"It is not useful for us to think what could happen in one month or more months.
"Tomorrow, if we win, we continue fighting for the Premier League.
"If we lose or we drop points at home it will be very difficult to continue.
"I am absolutely sure that this Premier League will be very close with five or six teams in it until the end, and just one or two points difference, so I am just thinking about the game tomorrow."
City head into the match at the Etihad Stadium second in the table, trailing leaders Arsenal by a point.
Two cup performances have underlined their class in just over a week.
City thrashed West Ham 6-0 to all but secure a place in the final of the Capital One Cup and then they hammered Blackburn 5-0 in an FA Cup third-round replay in midweek.
As they look certain to break the 100-goal barrier this weekend, City are averaging three goals a game and four in home matches.
Pellegrini wants more of the same but cannot guarantee the goal glut will continue.
He said: "It is always difficult to know what will happen in the future.
"We will try to play every game as a final and we will try to score the most amount of goals in every game, but it is very difficult to know what will happen in the future."
Nevertheless, City have adapted quickly to Pellegrini's attacking philosophy, which was one of the chief reasons the 60-year-old was appointed last summer.
He said: "Always it is difficult to start a new way or style in the way we are playing, and not only a new style, but changing so many things is always difficult.
"But as the only team in four competitions, it seems the players have done it very quickly. For me that is very important."
Pellegrini's caution comes ahead of a fixture which may remind him of a day when not all went well this season.
City were beaten 3-2 at Cardiff in August, one of four losses they suffered in their first six away games.
Pellegrini said: "We will try to do a good game for the fans. So far we are doing that but every game is different.
"I remember that Cardiff lost against Arsenal in minutes 88 and 90, so we are not thinking that we have an easy game.
"We are trying to win and if we can win with more goals it is better, but it is very important to do a very balanced game."
Pellegrini has a looming selection dilemma in attack.
The prolific Sergio Aguero is now fit and scored on his comeback after an eight-game absence in midweek, but Alvaro Negredo and Edin Dzeko are also in fine form.
Between them the trio have scored 56 goals this season.
Pellegrini said: "It is better for the manager to have difficult choices to select.
"They are three important players. Negredo and Dzeko are in a very good moment and Sergio is coming back from an important injury, so the three are very useful for us in this moment."
While City's strength in attack is undoubted, there has been speculation they could look to bolster their defensive ranks this month.
Southampton's highly-rated left-back Luke Shaw is one of the latest names linked with the club but Pellegrini remains guarded about plans for the transfer window.
He said: "No, no, no - I don't confirm about any names because we are not concerned about that in this moment.
"We are just thinking about Cardiff tomorrow and not in the winter transfer window.
"During the whole of January we will see what happens, all the clubs can do transfers, but I am not interested in one name especially. I don't say nothing about it."
Yaya Toure, David Silva and Vincent Kompany are back in contention after being rested on Wednesday while Stevan Jovetic could return to action next week.