The midfielder has been linked with a LaLiga move this season.
“I miss the best feeling of them all," Pellegrini told Corriere di Roma.
“For me, there's no better feeling than playing with the Roma shirt."
On beating Lazio earlier this season, Pellegrini also remarked: “The derby is one of the games that I remember with pleasure from last season. We were in the middle of a complicated period and the challenge with Lazio could have been the turning point and in part it was, also for me personally.
“Think about what it means for a boy from Rome, with the whole family being Romanisti, to enter a derby and score in such a difficult moment for the team."