The Chilean oversaw his final match at the helm as his side played out a 1-1 draw with Swansea City on the final day of the season this afternoon - a result that effectively confirmed their place in the Champions League next term.
Pellegrini described the occasion as a "special day", but admitted that he would be sad to leave the club.
"It's a very special day. It's not easy to finish a cycle in this club, a club where I was very happy, where I always felt the support of the fans during the three seasons," he told reporters.
"So I'm very proud to manage this squad. Of course, it was a difficult day. But there is also relief because it was very important to finish with the squad in the next Champions League."
Pellegrini, who will be replaced by Pep Guardiola at the Etihad Stadium, won one Premier League title and two League Cups during his time in charge.