The Chilean is stepping aside as manager at the Etihad Stadium to make way for Pep Guardiola at the end of the season.
Pellegrini has won three trophies in his three years at the club and wants to add another.
Manchester United red shirt Increasingly it is looking like the Champions League might be the only credible option, with City having fallen 12 points behind Leicester in the Barclays Premier League title race - albeit with a game in hand.
Asked if he wanted to leave on a trophy-winning high, the 62-year-old said: "For me, leaving at the end of the season and not leaving at the end of the season are exactly the same.
"I feel the same responsibility, the same desire to continue further in the Champions League, so I don't think that one thing is linked - at least in my way of thinking - with the other one.
"For me it's very important, and for the club it's important, for the fans and the players to try to continue in the Champions League as far as possible.
"If I was continuing next year I would have the same desire for the club to be as high as they can but, of course, if you have to leave at the end of the season, the best way to leave is by winning titles."
manchester City soccer shirts City will hope to secure a place in the quarter-finals for the first time on Tuesday night as they take a 3-1 aggregate lead into the second leg of their last-16 tie against Dynamo Kiev at Eastlands.
Borussia Dortmund soccer shirts Pellegrini believes his squad are capable of winning the competition.
50% OFF soccer shirts He said: "Yes, of course I think we can do it.
"Talking about my personal experience, I did it with Malaga and Villarreal - the quarter-finals with both clubs and one of them to the semi-final.
"It doesn't matter against who we must play. The important thing is to be in a good moment with a good individual performance, and play as a team in the way we know how to."
Yet despite being in a strong position, City are aware the job against the Ukrainian side is not yet done.
Goalkeeper Joe Hart said: "They're dangerous on the attack they have got two good wingers running from deep. They've got goals in them. They're a Champions League side.
"Anyone who has qualified for the last 16 is a dangerous side and they definitely are.
"So, 3-1 is a good scoreline and start for us, but it's only a start. We've got 95 minutes to battle it out and book ourselves a bit more history with the club."
Luis Suarez soccer shirts Midfielder Yaya Toure is set to return for City after missing Saturday's frustrating goalless draw at Norwich with a heel injury.
