Malaga, in their first season in the Champions League, were on Friday drawn to face German champions Borussia Dortmund in the last eight, with the first leg due to be played on April 3.
But Pellegrini insisted their immediate focus had to be on maintaining fourth place in the league.
"Our Champions League victory (over Porto in the last 16) is so important for this city, the club and all our fans," he told the club website.
"However our focus has now shifted back to the league and maintaining fourth position.
"As soon as this match (against Espanyol) and next week's clash with Rayo Vallecano are over, then we'll switch our concentration back to the Champions League and the tough opponent we're up against."
The fight for fourth place is very tight, with just three points separating fourth to eighth place in the table going into the weekend.
And Malaga will be keen to get back to winning ways after three league games without a victory.
Espanyol's focus is on avoiding the drop, and even though they too are on a run of three winless matches, failing to score in any of them, they still have a comfortable cushion over the bottom three.
Boss Javier Aguirre said: "It is true that we need to regroup. We should as a team be organised and committed.
"It will not be easy (against Malaga), but we must show that we go into the game with the intention of getting over our bad run."
Malaga will be without Martin Demichelis, who is ill, and Julio Baptista, who will be rested.