City won the first leg 6-0 at the Etihad two weeks ago to all but book their place in March’s final at Wembley, and then completed the rout with a 3-0 victory at Upton Park last night.
And the Chilean boss believes his players did well to finish the job in such style and is now turning his attentions to the other three competitions City have a chance of winning this season.
“I’m very proud of my team. We arrived in the Final winning five games with 19 goals scored, with just one goal conceded,” Pellegrini said.
“It is not easy when you’ve won the first Semi-Final 6-0. It was important for them to play not with the other score in mind, to play the game we did today.
“Now we’ve finished the Capital One Cup until March. It’s very important to continue in the FA Cup, so we must win against Watford on Saturday.”
But Pellegrini has played down claims that City have a real chance of winning the quadruple this season, and insists nothing is guaranteed for them.
“We have a lot of work to do,” he added.
“In the FA Cup we are just in the fourth round. In the Champions League we have a tough game against Barcelona. The Premier League is very close and it will still be close until the end between four or five teams.
“At the moment we are happy the way we are doing things. We must continue in the future the same way.”