United have confirmed they've agreed terms with Chelsea for Mata.
Pellegrini said: "I think Juan Mata is a very good player.
"It is a shame he didn't play often this year at Chelsea. I think United are buying a very good player.
"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."
Chelsea have already played United twice this term while he would be ineligible were they to meet in the Champions League.
But Pellegrini said: "I am not talking about the reasons of Arsene Wenger. I am not talking about that.
"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."
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