Pellegrini knows the pressure is off ahead of the match with his team already secure at the top of Group C, but he is refusing to ease off against the Belgian champions who are fighting to pip Zenit St Petersburg to the Europa League berth.
"Whenever any team goes out on the pitch, they're determined to play the best football they can," Pellegrini told the club's official website.
"From a sporting point of view it's important to win, no sportsman ever wants to lose. We'll be concentrating on performing at a high level and maintain our undefeated streak in the group stage, which is also important from an economic point of view.
"We certainly won't be relaxed out on the pitch tomorrow and will be in search of three points from the start of the match."
However, despite knowing his side's place in the knockout stages is assured, Pellegrini expects a tough rematch against Anderlecht, who they beat 3-0 in Brussels in October.
"It will be a very different match with regards to the first leg, between two teams at different levels," the Malaga boss said.
"The first time we came up against Anderlecht was our first away game against a rival with a lot of experience in the Champions League. However, now things look very different. We've already qualified whilst Anderlecht are playing for the chance to take part in the Europa League.
"The performance level of both teams will be shown on the pitch tomorrow."
Anderlecht have almost a full squad available for the crucial match, with only Bram Nuytinck unavailable due to a ban after he was shown a red card against AC Milan.