City were 5-0 up after 35 minutes in a frenzied first half in the Audi Cup in Munich before conceding three times to the Rossoneri before half-time.
Even though they came away with a win, to book a finals berth against Bayern Munich, City could have been a lot better according to Pellegrini.
"It's not normal that we can be beating Milan 5-0 after 30 minutes," he said.
"But I didn't like the last 15 minutes of the first half because I thought we relaxed before the end of the game and in football you can't do that.
"It's better that this happens now though rather than in the Premier League so we can sort out these things before it starts."