Karim Benzema struck for Real before Ronaldinho pounced for a Milan equaliser.
"I feel comfortable with the team's attitude. One point does not offer me anything special or new," said Pellegrini when asked if the result made him feel more secure.
"I would have liked the effort to have been reflected with a victory at the San Siro.
"We had a good first half with 16 shots on goal. There was only one team on the field. In the second half, they controlled more, but we kept them well back and had chances to take with us the three points, which would have been fair."