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Lampard last week moved to Pellegrini's Manchester City side on a loan deal until January, as his new side New York City FC - who are part funded by the Premier League champions - will not join the MLS until 2015.
City were sanctioned by UEFA for breaching FFP rules in May and Arsenal boss Wenger - whose team meet City in the Community Shield on Sunday - raised concerns about the deal.
However, when asked if he thought the move had been conducted properly, Pellegrini responded: "I think so.
"I think as managers we have enough problems with our own teams to be talking about other teams.
"The only thing I can say is that we have important restrictions about the amount of money we can spend and Frank Lampard was a free player - we didn't spend any money in bringing him from New York City to Manchester City."
"The problem was not that Frank Lampard did not want to sign another contract with Chelsea - Chelsea didn't want him anymore," he added.
"He is a competitive player, he will be important for our team and we didn't spend any money on him, so the rules of Financial Fair Play don't have any relation with Lampard."
