Pellegrini was one of three Lazio players sent off on the night.
He posted to social media: I apologise to the team and our fans for the red card.
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"Next time I will kick the ball out of the stadium for sure, considering the blood on my teammate's face and the fact that he stopped me was not enough for the referee.
Unsportsmanlike conduct won. Proud of this group, we can go out with our heads held high. Forza Lazio."