The Chilean arrived at Manchester Airport with the rest of his squad for their Tuesday afternoon flight to Germany but was then spotted by photographers leaving in a taxi soon after.
He returned to the airport's Terminal Three around 35 minutes later, still ahead of the scheduled departure of City's chartered flight to Dusseldorf, but with rumours abounding about the reason for his temporary disappearance.
The 62-year-old, speaking at his pre-match press conference at Borussia-Park, later laughed off the incident.
Pellegrini said: "It is not important
I have two passports and I brought the wrong passport!"
Pellegrini's gaffe provided a light-hearted moment ahead of the serious business of getting City's campaign in Group D up and running
City were beaten in their opener by Juventus a fortnight ago and go into the game in poor form having lost three of their last four in all competitions.
They will be without captain Vincent Kompany, who has failed to recover from the calf injury that has ruled him out for the last three games
Samir Nasri and Wilfried Bony also failed to make the trip, staying at home with other injury victims Eliaquim Mangala, Gael Clichy and Fabian Delph.
City won their first five games of the season without conceding but, in Kompany's absence, have shipped seven in the last three games.
Pellegrini tried to play down the absence of his inspirational skipper, as Martin Demichelis and Nicolas Otamendi are again set to be partnered in defence.
He said: "Of course Vincent is a very important player
He is our captain and he has started the season very well but I don't think one player is so crucial
We won the last six games of last season without Vincent."
City surrendered a lead to lose to Juve, a result that yet again raised questions about their ability to succeed on the European stage
The club have high ambitions and have not progressed beyond the last 16 in four previous seasons, but Pellegrini insists progress has been made.
He said: "I don't think we have failed in Europe
In the last two years we have qualified for the next stage and then we lost against the best team in the world, Barcelona
We qualified in second place, we have beaten Bayern Munich twice.
"Last year (we) were in a complicated situation and we won our last two games.
"So we know how to do it
We just lost a game against Juventus, which was a strange game.
"Now we are trying in the next five games to qualify for the next stage of Europe."
Pellegrini shared pre-match media duties with £54million signing Kevin de Bruyne, who has made a fine start to his City career and has now announced that he is to become a father.
The 24-year-old said: "It gives me a good feeling
I am really excited about it
I don't know if it is reflected in the way I am playing but my family and my girlfriend are looking forward to it."
De Bruyne has scored in each of his last three appearances.
The Belgian, back in Germany just a month after leaving Wolfsburg, said: "It is nice to score goals but I prefer to win to be honest
We need to get the results and then we see what happens in the other games."
Source : PA
Source: PA