Right-back Sagna believes City's dramatic penalty shoot-out win over Liverpool in the Capital One Cup final can provide a springboard for a strong charge in the Barclays Premier League and Champions League.
He feels that would provide Pellegrini with a fitting farewell as the Chilean prepares to make way for Pep Guardiola this summer.
Sagna said: "It is never easy to know the manager is leaving but if he can leave with trophies it is better and that is what we are trying to do
That is what we will try to do with the league and the Champions League."
City have twice before come from behind to take the title in the run-in, in 2012 and 2014, and thoughts are now switching to a repeat bid.
After three matches in three cup competitions in the past week, fourth-placed City return to Premier League action at Liverpool in midweek.
Sagna, who was taken off at the start of extra time at Wembley, said: "First of all we need to recover because we have an important game on Wednesday but we are confident
The club did it twice.
"We are nine points behind the leaders but we still have two months to go
We still have room to improve and room to become consistent, but everyone is focused to do it and to catch Leicester."
Back-up goalkeeper Willy Caballero proved the hero for City on Sunday with three penalty saves in the shoot-out.
City had been taken to extra time after Philippe Coutinho cancelled out Fernandinho's opener.
Caballero's selection ahead of England number one Joe Hart, despite being consistent with Pellegrini's usual policy for domestic cup fixtures, had been criticised
Caballero himself had also been under fire after a poor performance in last weekend's FA Cup loss to Chelsea.
Sagna said: "He has had some critics in the past and recently
When you concede five goals you are going to be the first one to be blamed.
"It was not easy for him but he has strong character and he showed it
He showed he is part of the team
We know he is a good keeper and I am very pleased for him."
Source : PA
Source: PA