"Maybe after the Arsenal game everyone thought we were eliminated," said Pellegrini on Thursday in reference to last weekend's 2-2 home draw.
"But now it has flipped around the other way so we must be very careful," he told his last news conference as City manager before Pep Guardiola takes over the City hot seat.
Since joining in 2013 the Chilean has won the Premier League, two League Cups and guided the club to their first Champions League semi-final, but they have disappointed in the league this season.
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Captain Vincent Kompany, Pablo Zabaleta and David Silva will miss the trip to the Liberty Stadium while left back Aleksandar Kolarov is a fitness doubt.
(Reporting by Nivedita Shankar in Bengaluru; Editing by Tony Jimenez)
