City earned a 2-2 draw in Paris after goals from De Bruyne and Fernandinho cancelled out strikes from Zlatan Ibrahimovic and Adrien Rabiot.
That result means the Blues will now play the second leg at the Etihad on Tuesday night with two precious away goals already in the bank but Pellegrini is refusing to get carried away.
He said: “I always say to the players it is a game of 180 minutes so we must be intelligent and not to make too many mistakes. We must finish this game at home but you must have the personality to play no matter what pitch we play on.
“Tonight we have got a good result and we must try to finish it at home but we are playing against a very good team.”
City took the lead late in the first half through Kevin De Bruyne after a frantic, end-to-end opening to the tie which involved chances for both sides.
Pellegrini said: “We started very well and tried from the beginning to score a goal because of the way we play we are not used to trying to draw.
“I always say that it is important to score goals away so we came here looking to score from the beginning.”
However, Pellegrini did criticise his side for making mistakes at crucial moments on the night. Joe Hart had already saved a penalty from Ibrahimovic before the Swede deflected a pass from Fernando into the empty goal to equalise.
“We made a couple of important mistakes that allowed them to score their first goal and unfortunately for us I think the second goal was a clear offside,” added the Chilean.
“Before that we made another mistake in giving away the penalty but if we want to win we can’t make those kind of mistakes but the team had the personality to continue to try to win the game.”
“It was a very good penalty save from Joe but it was one of our mistakes also because we could have cleared the ball before that.”
