The Citizens are preparing to host Madrid at the Eihad Stadium for the first leg of their Champions League semi-final encounter, following a 3-2 aggregate victory over Paris Saint-Germain in the quarter-finals.
The 62-year-old was sacked by Los Blancos after finishing second in his first season at the club back in 2010, however the former Villarreal manager says that's water under the bridge as he has moved on in his career.
"I was upset at the time because we played so well and did not win the title," Pallegrini said.
"We scored more than a hundred goals and when we played at Barcelona we did not deserve to lose but were beaten 1-0 through an unbelievable goal by Zlatan Ibrahimovic.
"I was not so upset about getting the sack because I knew that was going to happen all along. I realised after just a few games that I would only be getting one season.
"Even winning the title would not have saved me at Real Madrid and I would not have wanted to stay in any case under the conditions they imposed.
"I am still happy to have had the honour of managing Real Madrid, regardless of how it turned out. What happened six years ago does not really matter now.
"I would not like anyone to think I am still wounded and I do not wish to appear bitter."
Pellegrini was also happy to have avoided the likes of Bayern and Atletico, before adding that he is confident his side would hold it's own against any team at this stage of the competition.
"I did not want Bayern Munich or Atletico Madrid at the semi-final stage but, if the draw had given us Atletico, I would have said I didn't want to play against Bayern or Real Madrid," he explained.
"The truth is that when you reach the last four you must have confidence and trust in your own ability. You can be lucky with your opponents in earlier rounds but in the semi-final it doesn't really matter which team you get. You know it is going to be very difficult."