The manner of Real's defeat at home to Barcelona has again turned the heat up on Pellegrini's future.
"We are going to defend the coach and he will have the support of the team until the last day," he said. "We will be delighted if he continues."
Real director general Jorge Valdano insists Los Merengues will not give up their title fight and also gave his backing to Pellegrini.
"Real will not give in and the coach has our full support," he told AS.
"The Clasico wasn't the match we had dreamed about.
"I can understand why the fans are frustrated because expectations were so high.
"Perhaps the team felt it had too much responsibility placed on its shoulders when it took the pitch. We were much more relaxed in the first match at the Nou Camp.
"Whether we win the league or not, seven finals remain and we are obligated to play our hearts out until 16 May.
"By earning the remaining 21 points we would finish with a league record 98.
"That is why we are required to put forth our best effort - if our main rival slips up one of these days."