Chelsea beat Pellegrini's team 1-0 at the Etihad Stadium on Monday night to draw level with second-placed City on points, two behind leaders Arsenal.
However, Mourinho insisted after the match that City and Arsenal remained favourites for the title, describing his side as a "little horse that needs milk and needs to learn how to jump".
However, for the first time Pellegrini has opted to return fire, implying that Chelsea's significant outlay in the transfer market renders Mourinho's remarks debateable.
"Maybe it is a small horse if the manager thinks like that," said Pellegrini. "It can be a little horse, but very rich.
"This is the team that has spent most money in the last 10 years, it is the team that spent most money this year, and the team that spent the most money in the transfer window. So, little, but rich."
And Pellegrini went on to say that, having done the double over City, Chelsea are clearly in contention for the title, despite Mourinho's remarks.
"He has shown in the last two games he has a strong team with some great players," said the City boss.
"I think he is favourite. He thinks, if he wins, he will have the merits but, if he loses, he does not have responsibility.