Pellegrini says no-one inside the dressing room wanted to see the now Fenerbache coach axed.
He told Corriere dello Sport: “I know, yes. It was our day off, the 16th of January a year ago: They sent Mourinho away.
“It was a shock because none of us could have imagined it. It wasn’t a great moment for us.
“At the end of November we read that they wanted to get rid of him. We went to Tiago Pinto to ask if it was true and we explained that there was no need to send him away. We wanted to carry on with him.
"I had some of the best years of my career with Jose. We spoke on the phone immediately after his sacking and I wanted to clarify my position with other ridiculous rumours going around. He understood. Mou is amazing, he inspires you.
“We told ourselves that if he asked us to hit our heads against a tree, we would all do it. Suggestions of betraying Daniele (De Rossi) are complete science fiction: Inventions from people who have no idea about the relationship I had and still have with him. Often the truth is not of interest.”