City face Bayern Munich in the Champions League tonight.
Pellegrini said: "I always expect a big response.
"We started well in the Champions League and it is important for us to continue, beginning at home with the most difficult team of the group.
"We need to play 90 minutes in the best way, knowing every mistake or error we make we can concede a goal.
"We have to play against the last champions of the competition but I'm sure we can do well, exactly as we did in the Premier League against Manchester United.
"The last match we didn't win but I am sure they will play at the (right) level - we know how to do it."
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