The Blues twice took the lead against Arsenal, through strikes from Sergio Aguero and Kevin De Bruyne, but couldn’t hold on against the North London club.
Pellegrini said: “I was disappointed not to win the game. Winning the game would have been a great way to say goodbye. I don’t want to analyse my three years here until next Sunday but the best way to finish would have been three points here and we couldn’t do that.
“We played with high pace, good movement, we played with a lot of intensity and having a lot of attempts, especially in the first 45 minutes. I don’t think we felt any pressure.”
The result means Champions League qualification is now out of City’s hands with just next weekend’s trip to Swansea to come for the Blues.
City are now reliant upon either West Ham or Bournemouth to hold Manchester United but Pellegrini believes his side deserves to be in Europe’s elite competition next season.
He said: “We have not finished the season. Of course if you don’t just depend on you it is more difficult but we’ll see what happens on Tuesday when Manchester United play West Ham.
“We deserve to be in the Champions League because we’ve had 37 games in the Champions League spots so I hope in the last game we will not lose that spot.
“The improvement in the Champions League has meant that playing so many games in midweek has been difficult.”
Finally, the Chilean gave an update on skipper Vincent Kompany’s injury after the news that he will miss this summer’s European Championships.
“Vincent is to undergo surgery on his muscles so I don’t know how long he will be out but it could be a long time and it is very difficult to know in this moment,” he said.
