Excitement is building ahead of the first leg of the European glamour tie at the Etihad Stadium but City must first deal with Stoke at home in the Barclays Premier League.
City need points to tighten their grip on a place in the top four and Pellegrini therefore does not want to go easy this weekend.
Pellegrini said: “It’s a very important game. We are involved in the semi-final of the Champions League, but that doesn’t mean we are not worried about the Premier League.
“It was exactly the same against Paris Saint-Germain when we played the quarter-final. We had two important Premier League games and I said in that moment the best way to prepare is to win your next game. That gives you a lot of trust in the way you are playing and individual performances.
“So, the best way to prepare for Tuesday is to try to beat Stoke, keep a clean sheet, try to score goals and play well. That will help a lot.
“You always have risk of an injury but for big teams you cannot choose one competition. It is very important to reach as near to the top of the table as we can and try to beat Real Madrid.”
Pellegrini accepts that rotation is sometimes necessary but it has not been one of his regular selection traits.
The Chilean said: “Without the final we need to play eight games in 30 days. If we continue with the same players maybe for the last two or three games you are not going to be with energy, so it’s important to make some rotation.
“But it’s important not to take the whole team out waiting for the game on Tuesday.”
If any players are to be rested, Pellegrini gave no indication that top scorer Sergio Aguero might be one of them when asked at his latest pre-match press conference.
Aguero has started City’s last 13 games and hit a hat-trick against Chelsea last weekend. His involvement is likely to be critical to City’s hopes against Real.
But Pellegrini said: “Sergio is a very important player for us but I’m sure Real Madrid will play with their best squad on Saturday because they are also trying to win the league. All of them have the risk of an injury.
Stoke are destined to finish in mid-table and their form has tailed off with heavy defeats to Liverpool and Tottenham in their last two games.
But City were outplayed by the Potters in December, losing 2-0 at the Britannia Stadium, and Pellegrini has warned against complacency.
He said: “They played very well in Stoke. It was a very good day when they had important players in their best performance. But every game is different.
“We need three points to keep our options for finishing third in the table. We need a good performance.
“When you’re playing for nothing it’s not very easy to motivate the players, but everyone wants to win every game. If you give them time and space they will win you the game.”