The Saints play the second leg of their third qualifying round tie against Vitesse Arnhem on Thursday after beating the Dutch side 3-0 at home last week.
Rather than seeing the additional fixtures as a distraction from Southampton's Premier League campaign, which gets underway this weekend, Pelle is cherishing the opportunity to take part in the continental competition.
"Every time I always discuss this with my teammates when sometimes a club says they don't want to play European competition," Pelle told saintsfc.co.uk.
"I don't understand it.
"We work all year to go as high as possible and to reach the European competition is the best thing we can do. I am personally happy and all my teammates and as a club too.
"We always want to reach the highest positions possible and it is fantastic to be in this competition.
"For the fans I can understand because for me, for the team, it is something special.
"Imagine some of the supporters that always support this team in all their life and see them back in European competition. It must be a really amazing feeling.
"We have to try and do our best to make them more happy than they are now."
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