Brazilian left-back Alex Sandro played a perfect ball into the penalty area after 56 minutes for Moutinho to calmly side-foot into the net for the Portuguese league leaders.
Television replays showed Moutinho was offside but the goal was given despite strong appeals from the Malaga players.
"It looked offside to me although I have not yet seen a replay," Pellegrini told a news conference.
The coach would not, however, use the dubious-looking goal as an excuse for Malaga's display.
"I'm not happy because I can't say we played a good match particularly in attack," said Pellegrini after the Champions League debutants suffered their first defeat in the competition.
"But although Porto dominated I don't remember any important saves from [keeper] Willy Caballero. We hope that in a more normal game, where we see more of the ball, we will turn this around."
Malaga, fourth in Spain's top flight, were largely innocuous up front with Roque Santa Cruz and Julio Baptista kept quiet by Porto's back four.
The second leg is in Spain on March 13.
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