West Ham saw victory slip out of their sights on Monday night, as Arsenal scored three times in a nine-minute span to beat the Hammers 3-1 and win their first game in which they trailed at the half since 2011.
After a 3-1-1 start to the season, West Ham have only won once in their last 11 Premier League matches and now sit in 16th place, just one point above the relegation zone.
Though the Hammers have a mid-season relegation six-pointer on the way against Southampton this Saturday, Pellegrini is not worried about a potential drop to the Championship.
“In our last five games at home we got one draw and conceded three goals in our last three. I am more worried about that,” Pellegrini said after the match.
“You take responsibility for results. For 65 minutes there was only one team on the pitch, but we must score the second goal to decide the game.
“If Arsenal had scored three times from seven chances, that would be different. The game was decided in three minutes.
“We need to concentrate more, be more consistent and more solid.”
After their battle with Southampton, West Ham will close out 2019 with games against Crystal Palace and Leicester City.