West Ham went down to a 2-1 defeat at Manchester United despite being the better side, with two Paul Pogba penalties either side of a Felipe Anderson goal making the difference.
Pellegrini’s side have little to play for during these final weeks of the season, with relegation avoided and a European place seemingly out-of-reach.
Yet the Chilean, who reached the Champions League semi-finals with Villarreal in 2006, has ambitions of taking West Ham to the continent too.
“It’s my intention,” he said. “When I arrived at Villarreal in 2004, it was a very small team but we were growing, and it was a complete project for the club.
“We did very good work at that club. We got to the semi-final of the Champions League. My intention here is just to try to repeat at West Ham what we did, and playing the way we did.
“I think we can do it. Now we must be consistent. When I started at Villarreal, 14 or 15 years ago, maybe the amount of money for the big players was not so high as now.
“So the big teams over this period have got more of an advantage. In that moment, we bought good players to Villarreal.
“But finally, the project, the style of the football, I will try to do it at West Ham.”
In order to reach that level, West Ham will at least need to emerge as the ‘best of the rest’ in the Premier League, i.e. the nearest challengers to the established top six.
“There are three or four teams who can do it also,” Pellegrini pointed out.
“I think that Everton can also do it, Wolverhampton this year, Burnley and Bournemouth did it last season.
“More of a future target is that we must try to have a style of play that demonstrates we can fight against everyone, and after that, you will see at the end of the season where you arrive.”
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