City lost 1-0 at Sunderland for the fourth successive season on Sunday afternoon and have now taken only four points from a possible 18 on the road during the current campaign.
Pellegrini was at a loss to explain exactly how his team had come away from the Stadium of Light empty-handed after dominating for long periods, but admitted their hopes of glory could be dashed unless they can arrest the trend.
He said: "I am concerned because we are losing too many points away and, of course, that's very difficult if you don't win away to try to fight for the Premier League.
"But I don't think we are playing badly, so we must have a reaction, we must improve to make sure we are going to win."
Former Manchester United full-back Phil Bardsley's 21st-minute strike - his second goal in five days - proved enough to claim three priceless points for the Black Cats after he shrugged off James Milner and curled a shot across keeper Costel Pantilimon and inside the far post.
The Romanian was once again preferred to England international Joe Hart and Pellegrini refused to be drawn on where he currently ranks his goalkeepers.
He said: "At the moment, of course, Pantilimon is playing. He hasn't had any problems in the three games he has played."
Pellegrini introduced Jesus Navas as a half-time substitute and later added Edin Dzeko to the mix as he sought a way back into the game.
But with Sunderland keeper Vito Mannone and a defence marshalled superbly by Wes Brown - starting his first league game in almost 22 months - holding firm, there was no way through.
The City manager said: "The reaction is very similar to the other games that we have lost away. It's incredible the way we lost this match.
"Sunderland played really well also defending. The team is not in a good position, so I understand the way they played.
"But they had just one shot on our goal. We had the possession, we had the chances and we didn't score."
Sunderland boss Gus Poyet was thrilled by a win which gave the Black Cats' survival hopes a major boost, but did his heart little good.
Asked if that was the biggest victory of his managerial career to date, even eclipsing a 2-1 defeat of arch-rivals Newcastle, he said: "Yes, probably.
"I know that for the fans, for the club, for the history, it's always more important to beat the biggest rivals without any doubt. That's when you have to win.
"But in terms of opposition, quality, world-class players, this is the biggest of my career, so it's going to be a good evening tonight without any doubt.
"I don't know how my heart is right now. I don't want to check it just in case it's bad news, but it's going to be a great evening.
"I am so pleased for the players. They need to believe. It's easy to talk - we can say things and you can write. But at the end of the day, it's the players on the pitch who need to be convinced that this new way of playing football and defending is working, which is great for the future.
"So let's see if we can keep this going. It's a good time to go into the international break."
Sunderland remain three points adrift of safety, but having won their last three home games, two of them in the league, the table makes for much more satisfying reading.
Poyet said: "Right now, yes. Three hours ago? I'll tell you what, when I looked at that table, it was awful - and we were playing Manchester City.
"But that's the key. It's the feeling that you are sending to the rest above you. I would be thinking, 'They are coming'."
- Sports & Recreation