The Qatar-owned La Liga club made it through to the last eight on their debut in the competition and were within touching distance of a place in the semi-finals before Dortmund struck twice in added time to send them crashing out.
Several of the Bundesliga side's players were in offside positions in the build-up to their decisive goal in the 93rd minute, prompting furious protests from the Malaga players and sharp criticism from Pellegrini.
The club said the following day they would lodge a formal complaint with European football's governing body UEFA about the performance of the match officials but Pellegrini said the issue was now closed.
"It is hard to reach those heights but now we have to focus on the [domestic] league," the Chilean told a news conference previewing Saturday's La Liga game at home to Osasuna.
"We are already thinking about the match against Osasuna," he added.
"The players are affected but they are in good shape and we hope to put our feelings to one side.
"There are eight matches left and we will try to get all the points we can to qualify for Europe for next season."
Malaga are sixth on 47 points, a position that would secure them a place in the Europa League, Europe's second-tier club competition, for next term.
They are two points behind fifth-placed Valencia, who play at resurgent Espanyol on Saturday, and four adrift of Real Sociedad in Spain's fourth Champions League qualification berth.
Real Sociedad play at Rayo Vallecano on Sunday.
Real Betis also have 47 points in seventh place and play city rivals Sevilla later on Friday, while Osasuna are five points above the relegation places in 15th.
Even if Malaga qualify for the Champions League or the Europa League, they may not be able to take up a place after earning a UEFA ban from continental competition due to delays in payments to creditors.
The Costa del Sol club are appealing the sanction at the Court of Arbitration for Sport (CAS) with a decision expected in coming weeks.
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