The Blues created a host of chances at the King Power Stadium, most notably through Raheem Sterling and Kevin De Bruyne, but ex-City stopper Kasper Schmeichel was a match for them all.
The draw earns City their first point in three away matches following defeats at Stoke and Arsenal, and Pellegrini is pleased with this improved showing on the road.
Pellegrini also confirmed that Vincent Kompany has suffered a second degree tear in his calf and will be missing for another month.
He said: “We will see how long Vincent will be out, but I don’t think it will be less than 3-4 weeks.
“I am not a doctor, but with a muscle injury, it will be very difficult for him to be back in less than four weeks.
“But without him, we must continue to defend as did tonight. We did more than Leicester to win the game.
“We had more possession, more attempts on goal, more clear options but it was a tough game against a very good team playing away.
“I always say if you cannot win, don’t lose but I think we did all that we could to try and win the game. We didn’t come to try to draw. We spent the whole game going for the three points.”
The result also means City clocked up their first clean sheet since the stalemate at Aston Villa on November 8.
Pellegrini said: “Yes it’s a positive because we were a very consistent and solid team today. We didn’t allow them to create options for players like Mahrez and Vardy that are in a very good moment.”
The Chilean did however refuse to be dragged into the game’s most controversial talking point, when Sergio Aguero tangled with Leicester’s Gokhan Inler in the Foxes’ area.
He said: “It was far from my position so I can’t talk about that but the important thing is that it was up to the referee and he made his decision.”
