His erratic side snatched a 2-1 La Liga win at home to Espanyol on Saturday thanks to Roberto Soldado's late penalty and they are level on nine points with group leaders Bayern and well placed to progress to the last 16.
Former Valencia player Pellegrino, who replaced Unai Emery as coach at the end of last season, was denied by Bayern goalkeeper Oliver Kahn in the penalty shootout that decided the 2001 final and he is well aware of the precariousness of his current position in the results-orientated modern game.
"It's not a good time to be a coach right now," Pellegrino said at a promotional event last week.
"You are skating on thin ice," the 41-year-old added.
"The players have more influence than the coach, that's the way football is.
"The players have a value in the market for the clubs that the coach just does not."
Valencia will have half an eye on the other match in the group because if Belarussian champions BATE Borisov lose at home to French side Lille, the La Liga club will be through whatever happens at the Mestalla.
Bayern have lost to Valencia only once in eight meetings, a 3-0 reverse in Spain in the first leg of a UEFA Cup first-round tie in the 1996/97 season.
They beat them 2-1 in Munich in September thanks to goals from Bastian Schweinsteiger and Toni Kroos, Nelson Valdez replying for the visitors in added time.
BRUISED RIBS
Mario Gomez and Franck Ribery will travel to Valencia on Monday as both continue their recovery from injury, Bayern said on their website on Sunday.
Germany striker Gomez made his comeback last week after three months out following ankle surgery, while France winger Ribery trained with the rest of the squad on Sunday after a brief spell on the sidelines with bruised ribs.
Netherlands winger Arjen Robben, who was a team mate of Valencia midfielder Fernando Gago at Real Madrid in 2007-09, is unavailable after he sustained a thigh injury in last week's friendly against Germany.
Probable teams:
Valencia: 13-Vicente Guaita; 12-Joao Pereira, 4-Adil Rami, 20-Ricardo Costa, 3-Aly Cissokho; 8-Sofiane Feghouli, 24-Tino Costa, 5-Fernando Gago, 17-Andres Guardado; 7-Jonas, 9-Roberto Soldado.
Bayern Munich: 1-Manuel Neuer; 21-Philipp Lahm, 4-Dante, 5-Daniel Van Buyten, 27-David Alaba; 31-Bastian Schweinsteiger, 8-Javi Martinez, 25-Thomas Muller, 39-Toni Kroos, 7-Franck Ribery; 9-Mario Mandzukic.
Referee: Howard Webb (England).
