Pellegrini does not blame United from dipping into the transfer market during this month's window - as they are entitled to do - but in his opinion such moves should not be allowed mid-season.
The Chilean claims he is not calling for an end to the transfer window, but feels the high-profile moves within the Premier League can distort the competition.
He said: "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."
When asked why he did not agree, Pellegrini, speaking at a press conference, said: "Because 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 (there is) nothing to say."
Asked to elaborate further, Pellegrini said: "You can have the window of course.
"Maybe a player that played three games in a team is not involved the same as an important player.
"I am talking about fair play. If you allow that, maybe teams with a lot of money can buy important players from the teams fighting with them for the title."
Pellegrini himself could sanction such a move - for instance Joleon Lescott has been linked with West Ham - but that does not mean he agrees with the rules.
He said: "For me the rules must not allow change it but if the rules allow everyone can do what they want."
Arsenal manager Arsene Wenger also believes Mata's expected move to Old Trafford highlights how the January transfer window is an unfair concept.
There is a feeling that Chelsea will doubly benefit because Mata cannot play against them this season.
Chelsea have already played United twice this term while the Spaniard would be ineligible were they to meet in the Champions League.
United do, however, still have to play some of Chelsea's title rivals in City, Arsenal and Liverpool.
But Pellegrini said: "I am not talking about the reasons of Arsene Wenger. I am not talking about that.
"Maybe Manchester United have an advantage because Chelsea wanted to sell him. Maybe Manchester United have an advantage in this case.
"I am talking about general reasons and not the specific reason that they have played already against them.
"I think in this transfer window, players that play more than five or six games for the same club cannot change to another."