Real Madrid won 2-0, thanks to a Kylian Mbappe brace. His second was a penalty won by Vini Jr.
Pellegrini said, "We played a good game, as we intended to play here at the Bernabéu against a great team like Real Madrid, who were going through a difficult moment. We tried to play as equals, and I think we achieved that for a large part of the match.
"We had opportunities to have opened the scoring. Mbappé's goal came, the game opened up a bit more, and a second goal in which the VAR intervened in a penalty that Vinícius took when the ball had gone out of his reach, he threw himself at the goalkeeper.
"The referee decided that the VAR had to be reviewed and with that the game went in Real Madrid's favour. But I'm happy with what the team did and we have to keep improving."
He also said: "We were 1-0 up, there were 15 or 20 minutes left to try to draw or win the game and that play came in which the VAR intervened, it was likely that it would intervene. I remember that this same referee last year went to see a penalty on Assane and decided that it wasn't one, today it was for Real Madrid, and the game ended up being closed in their favour.
"Afterwards it was difficult for us, but from the beginning we tried to come and play in a difficult stadium against a great rival. They won and there's no need to think about it any more."