City seem to be losing their grip on the Barclays Premier League title but Pellegrini is not ready to hand it over to Chelsea just yet.
And with the battle for top-four places intensifying, Pellegrini knows there could be an additional heavy price to pay for any further slip-ups.
Pellegrini said: "I always expect to win all the games from the beginning of the season to the end
That is the mentality we must have as a big team.
"So many times (media) ask me after a defeat if we are obligated to win
We are always obligated to win
This team demands you to win every game.
"Now it is important to take it game by game and we must focus our mind on Crystal Palace."
City return to action following the international break with a trip to Selhurst Park on Monday.
They took some of the heat out of their recent troubles with a convincing 3-0 defeat of 10-man West Brom in their last game and will now hope to build some momentum for the run-in.
Prior to the Baggies' visit, City had won just three games from 12 in all competitions, suffering hefty damage to their title bid and going out of the FA Cup and Champions League.
Pellegrini said: "I hope we can do it
We will see the way we play.
"The way we finished against West Brom is the way we must continue
It is not easy to make a clear analysis because they played with one player less, but I hope in these eight games we will continue playing that way."
International breaks can be a frustration for managers, with the risk of players suffering injuries or of rhythm being disrupted.
In City's case key midfielder Yaya Toure went away to join up with Ivory Coast and played twice, despite club fears over his fitness after missing the West Brom game with an Achilles injury
Captain Vincent Kompany was also sent off while representing Belgium, prolonging his recent spell of poor form.
But Pellegrini acknowledges the importance of the international game and accepts the problems that it can bring.
The Chilean said: "It is important for the national squad to have players to play.
"We cannot do anything here at the club because we stay with just seven players
It is not the best thing but you know that before you start.
"But I think the squad now is as normal
Maybe we have some small (injury) problems that we will see about but I don't think we are going to have any problems for this next game."
Source : PA
Source: PA