The Hammers sit fifth in the Premier League after six games, but are now out of the League Cup.
"This is football and you never know what will happen," Pellegrini said. "It's not always the big team that wins the game.
"You can't take anything away from Oxford, they played well. We couldn't score goals and found a team that played well.
"I hope it was an accident and we must return to understand to play against every team with 100-per-cent concentration and intensity.
"When I arrived here at West Ham, I saw how many goals they conceded in the previous season. Last season we reduced that by 10, 11 goals.
"That is also too much so we continue working to try and reduce that more. For the moment, until the last game, we are doing well. It is a matter of concentration."