Pellegrini endured an unhappy return to the Bernabeu, but claims his side could not have expected to take a positive result from the clash with Jose Mourinho's men.
"We didn't come to contest the points; the game was just a formality," he said.
"Against a team like Real Madrid we couldn't have expected to take a positive result from the game, so the truth is the match won't affect us at all."
Pellegrini rested a host of first-team players for the trip to the capital, in order to keep them fresh for Sunday's Primera Division clash at home to Osasuna.
"Six first-team players didn't play because I wanted to reserve them for the game against Osasuna," he said.
"And Weligton, (Martin) Demichelis and Eliseu (Pereira) only played because I didn't have anyone else."