The Giallorossi captain was given a second yellow card near the end of the match after he was adjudged to have elbowed a Zebrette player in an aerial challenge by referee Antonio Rapuano.
Pellegrini will now miss the Derby della Capitale against Lazio on Sunday evening.
“I can’t say anything,” Mkhitaryan said to DAZN. “We have lost our captain for the derby, a leader that lifts the others up.
“We hope that we certain moments like happen anymore. It was not a second yellow card but now it has happened. We must think of Sunday’s game.”
Mkhitaryan was asked about the role he plays under new Roma coach Jose Mourinho but he is not too worried about where he plays on the pitch.
“I can play where I played today, but the coach always decides if I am a support striker or a winger,” the Giallorossi attacker said.
“The important thing is to win, not where I play.”