The City midfielder appeared to be the target of monkey-chanting from a section of the home support during City's 2-1 win in Group D of the competition at the Khimki Arena.
Pellegrini, who conducted his press conference behind a UEFA placard that read 'no to racism', said: "I didn't know what happened.
"There were some shouts against our player, it is a pity that we still have those stupid things.
"But I hope the right message can be put out for Yaya and Manchester City.
"I cannot answer the question about how Yaya is feeling as I haven't spoken to Yaya, so I cannot say anything about that."
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