Dieumerci Mbokani Bezua netted in the 88th minute to earn a point for the Belgians at La Rosaleda after Duda had twice put the Spanish side ahead on either side of
The result made little difference to the final standings in Group C, with Malaga already assured top spot after three wins and two draws.
"Unfortunately our rival equalised in the last two minutes, which also occurred in the Zenit match," Pellegrini said.
"We had a great number of goal chances and showed an excellent attacking display and a great performance by (goalkeeper) Kameni.
"It was disappointing when they scored the equaliser, but all in all, we played very good football tonight.
"We had a lot more chances to score than Anderlecht, even though they had two excellent opportunities in the first half that were saved by Kameni.
"I'm pleased with the individual performance on the attack however I think we needed to be stronger at the back. It was a fair draw, although we can't help feeling disappointed with the last-minute goal."
After its highly publicised financial issues many were surprised by Malaga's dominance in the competition, beating Italian side AC Milan to top spot.
"We had the right attitude and conviction in every match in the group stage, regardless of the rival," Pellegrini added.
"Since the very first match against Zenit, we showed our determination to qualify. We proved ourselves again in
"We finished with three draws, but I think we always had the advantage and determination to win."
This week's draw however came at a cost with influential midfielder Jeremy Toulalan taken off after just 16 minutes.
"Toulalan suffered a muscular injury," Pellegrini said before looking forward to the knockout stages of the competition.