A win for Manchester City over Sevilla in the Champions League on Tuesday could see them qualify for the next round of the competition, depending on other results Group D.
City will earn a place in the first knockout round with two games in hand if Juventus also beat Gladbach in the group's other fixture.
"I think it's very important for the team to try to win because, depending on what happens in the other game, we could be in the next stage," Pellegrini said.
"It's a benefit to qualify as soon as you can – it's not easy to do it two games before the end. If we do it, in the same way you must qualify, you must fight to qualify in first place.
"If we have a good result, we must then try to win the group in our remaining two games. This team is not prepared to try to draw – we won't start the game thinking it's a good point.
"Of course if you can't win, a draw is better than losing but if you start thinking a draw is a good result, you'll normally lose."
Pellegrini also commented on UEFA's ongoing investigation into City fans booing the Champions League anthem, saying supporters are within their rights to protest.
"It is very difficult for me to analyse why they boo and the way they do it," he added. "But my general opinion is if they boo, UEFA are not doing something right."