By ESPNSTAR.com staff
Cazorla joined Arsenal over the summer for a fee reported to be in the region of €18 million and the diminutive midfielder has been Arsenal's best player this season, having recently scored his first hat-trick for the Gunners against Reading.
Pellegrini felt that Arsenal landed Cazorla in a bargain and revealed that the poor financial situation at the club was the factor that drove the move.
The Malaga boss told 'Al Primer Toque', a radio show on Spanish station Onda Cero: "There are many clubs who have to give up their big names except Barca or Madrid, so there is a big difference between them [their quality] and the rest.
"Economically, the club had to make a change based on what had been proposed [there was a lot of financial trouble - owner threatened to pull out over TV money] and we had to sell Santi Cazorla.
"Santi's case was inexplicable. It was a time of acute crisis in the club. The departure of Cazorla at the time and at the amount that was agreed was a blunder."
Malaga has continued to impress this season and are currently fourth in the league with Isco stepping up to take the reins as the team's creator. Some fans argued that Isco was able to step up only after Cazorla left, but Pellegrini disagreed.
He added: "A good player has never benefited from another good player leaving and no player has gone backwards by playing alongside another great player."