Milner did not see action in the Capital One Cup final victory over Sunderland.
"Milner always deserves to play because he's a very important player for the squad," argued Pellegrini.
"It was my intention to bring him on as a substitute, but during the game I decided that we needed another change.
"But it's not a problem for Milner because I'm sure he feels that he's an important player for me."
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