Mourinho has played down his Chelsea team's title chances throughout the campaign despite seeing them top of the table many times this season.
After a shock 1-0 loss to Crystal Palace on Saturday, Mourinho said it was impossible for his side to win the Premier League.
Chelsea are two points adrift of league leaders Liverpool, while City are a further two points back with two games in hand.
Pellegrini had no interest in responding to Mourinho and said the mind games meant nothing.
"I don't think other managers can be giving any importance to those mind games," he said.
"I don't know if you think managers who play mind games are more intelligent? I don't think so.
"I don't respond to it because I don't know what he says. It's not my duty to respond to what Mourinho says. I don't know the way he thinks."
City have two games in hand on the top two and have trips to Liverpool and Everton to come in the latter stages of the season.
Pellegrini said the top four all had the same chance of winning the title but his team needed to capitalise on their games in hand.
"My way of thinking is that the four teams will have the same options to win the title," he said.
"The other teams have 18 points more to win, six games more. We have eight games more.
"We have to win those points. We don't have six points, we have two games extra to play – it's not the same thing.
"Do I regret the points we dropped away from home earlier in the season? I don't think at this moment it is important. It is too far away to start thinking or talking about those games.
"If you look at the whole season I think we are the second team in terms of points playing away. We can only influence what happens in the future."
