The Premier League side continued their impressive form in front of goal with a 3-1 victory over Leicester City at the King Power Stadium.
Aleksandar Kolarov opened the scoring with a perfectly placed free-kick, and an Edin Dzeko double put the visitors in control long before Lloyd Dyer's late consolation for the Championship outfit.
Manchester City were beaten League Cup semi-finalists in 2010 and 2012, and Pellegrini is eager for his men to go all the way this time around.
"It was a very professional win," he said. "It is not easy to play three games in one week, but I think the team played well.
"It was a good first half; we had possession and dominated the game. We played at another pace in the second, but that is normal.
"It is an important competition; the final in Wembley is a big game. It is important to win all competitions you play in, why not if you have to play them."
The Chilean made eight changes to the side that beat Arsenal 6-3 in the Premier League on Saturday.
"That's why we have a squad. It doesn’t matter what competition (it is) we try to play the same way, changing names but keeping the same style," Pellegrini added.
"It is very important all the players know they are important (to the club). We have so many games to play that all of them will have an important amount of games."
