Alvaro Negredo had put them on course for a place in the fourth round but Scott Dann responded after a Pantilimon mistake and City had Dedryck Boyata sent off late on.
Asked if a mistake occurred, Pellegrini said: "No."
Pellegrini was not critical of goalkeeper Pantilimon, who returned to the side for the tie after recently losing his place to Joe Hart.
The Chilean said: "I will analyse the game with the players, as a collective team.
"Maybe (he dropped the ball) but always the individual performance makes the team performance, so I analyse what the individual players do with them."
Pellegrini added he had "no complaints" about Boyata's dismissal for a second bookable offence.
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