Ronaldo left Madrid as their all-time highest goalscorer to join the Serie A champions last summer in a 100-million-euro deal.
Pellegrini, however, wants Madrid to sign Chelsea ace, Eden Hazard as Ronaldo’s replacement at the Santiago Bernabeu.
“Madrid have lost a lot of goals; Cristiano took too many goals with him when he left. He should have ended his career in Madrid and I was surprised they allowed him to leave,” Pellegrini told Spanish radio show, El Larguero.
“There is a difference between [Gareth] Bale and Cristiano, who has made the difference for the last 10 years.”
Pellegrini believes that a move for Hazard would pay dividends for the Champions League holders, saying: “Hazard is a player of great quality. He is playing at an extraordinary level and making the difference. He can play at any club in the world.”