Betis meet Chelsea in Wroclaw, with Pellegrini stating every player and staff member are enjoying the experience.
He said at yesterday's preview: "We're experiencing these moments with great joy. This is the first final they're going to play in their history in Europe, and we're very excited to experience this."
On having extra days' rest in contrast to Chelsea, Pellegrini continued: “I agree it's an advantage. They had a very tough game to qualify for the Champions League, and they did it. Playing on Thursdays and Sundays is typical. I'm sure Chelsea will be well recovered this Wednesday and will be a very tough opponent.
“I sent Enzo (Maresca, Chelsea manager) a message telling him I'd see him in Poland for the final. I'm happy to be able to play with them in the final now. I congratulated him on what he achieved on Sunday.
“Playing equally, I think we have the same chance of winning the match as them. We can't make any mistakes due to overmotivation. It would be easy for me to say Chelsea are favorites, but I don't think so.”
Proud of Antony
Much of the focus will be on Betis' in-form attacker Antony, on-loan from Manchester United.
Pellegrini added, “I'm proud, but he deserves a lot of credit. He wanted revenge, and he got it.
"He needs to continue improving his career even further with the work he's doing at Betis.”