The Chilean tactician is aware that the media are attempting to drum up talk of a spat between the two rival Premier League managers in the build up to Sunday's eagerly-awaited clash at Stamford Bridge.
There is some history between the pair as Mourinho replaced the sacked Pellegrini at Real Madrid and labelled him the 'first of the losers' after the team had just finished behind Barcelona with a record points haul.
The Portuguese also hit out at Pellegrini's decision to snub some big offers from around Europe to stay in Spain and take over at unfashionable Malaga on his exit from the Bernabeu.
However, Pellegrini was not interested in becoming embroiled in a war of words with Mourinho and merely pointed out that everybody is different in the way they go about things.
"I don't talk about what other managers say about their work. That is not my duty. That is not my way of thinking about the profession," he said.
"I can't tell you what is in Mourinho's mind. What he said in that moment, I think answered him in that moment. I understand, it was not a problem.
"I am very happy. What happens with each manager, that is not a problem.
"Nobody knows where every manager wants to manage or where he wants to be.
"I can tell you I had a lot of chances to manage different clubs after Real Madrid and I have taken the decision of my life to go to Malaga."
Pellegrini added: "I am not telling you I don't like Jose. I am a different person. Different style, not only football.
"I don't know him as a manager. I know his career. He has a lot of titles and maybe there is a different way to think of his profession. He has his way and I respect him."