City are on the second spot in the Premier League table and the blues have taken a 6 goal advantage over West Ham in their Capital One Cup semi-final and have managed to reach the top 16 in the UEFA Champions League.
The next task is Wednesday’s FA Cup third-round replay against Blackburn in home and Pellegrini insists players will keep their focus and try to will in all four fronts.
“It’s important to have the mentality at least to try (to win all four),” Pellegrini said.
“During the season with injuries and the amount games we have to play it’s very difficult, and that’s why no-one’s done it before.
“But you must have the mentality to at least try to do it and that’s what we’re trying to do at this moment.
“We’re not thinking about winning the four competitions, we’re just thinking about Blackburn in the FA Cup and then to try and win against Cardiff on Saturday.”
The manager also mentioned that he is going to maintain the heat amongst his players with Sergio Aguero who is said to return against Rovers. “It’s a very important cup because it’s a very traditional cup, so the most important thing for this team is to have the mentality to try to win no matter what competition you are playing,” he added.
“I don’t understand the reason why because we’re not playing the Premier League that you don’t want to win.
“If you make some rotations and the other team is strong they play better and win, then we would be eliminated. So, we will try to do well and try to continue.”
Pellegrini is confident the returning Aguero will soon get back into his stride.
Pellegrini said: “You never know but I hope that he will come back the same way as before he was injured.
“He was in a good moment and maybe he needs two or three games to return to that level but Sergio will do it.”
City has still managed to maintain its focus on the top spot of the table though they did not have their striker Aguero, by winning seven out of eight matches. The forward line has continued to fire with Alvaro Negredo taking his tally to 19 to equal Aguero and Edin Dzeko moving on to 13.
Pellegrini said: “Negredo is doing very well and we have Edin Dzeko as well who is a very important striker for us.
“When Sergio was injured Edin started to play often and he scores a lot of goals for us.
“But Sergio will always be an important player for us, not only because of his goals but he gives us a lot of play during the match.”