Sides drawing 2-2 away win the overall tie 79.4% of the time in Europe, and a 1-1 draw at Etihad Stadium next Tuesday would see Pellegrini's side go through.
"No, we're not favourites. Not before this game and not after," he said.
"Between big teams you never have a favourite. It will still be open."
City took the lead against the French champions through Kevin de Bruyne, but went 2-1 down as Zlatan Ibrahimovic - who also missed a penalty - capitalised on Fernando's error, before Adrien Rabiot scored at the back post.
Fernandinho's deflected effort 18 minutes from time earned a draw for the Premier League club, who are trying to reach their first Champions League semi-final.
"We must not talk about a semi-final," said Pellegrini, 62, who will be succeeded by Bayern Munich boss Pep Guardiola in the summer.
"We must play the second leg not thinking we are already qualified. When we qualify, we can talk about other things."
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De Bruyne has now scored in both of his games since returning from a two-month injury lay-off, after netting in Saturday's 4-0 win over Bournemouth.
"Sometimes one player can change a team. He was important before his injury and thankfully he returned the same way," said Pellegrini.
It was an eventful night for PSG striker Ibrahimovic, 34, who had a penalty saved by Joe Hart, missed a one-on-one opportunity and also struck the crossbar.
But the Swede's goal means he has scored in five consecutive Champions League games for the third time in his career.
"Zlatan was really on a rollercoaster - he missed a penalty and then had a really clear chance and didn't score," said PSG boss Laurent Blanc.
"We thought it wasn't his evening but he kept on believing and scored."
Former France manager Blanc is confident his side can trouble City in the second leg.
"What I will take from this game? It's not the first time we've conceded at home," he said.
"We always concede at home but in the past we've proven that we can score away."
Manchester City boss Manuel Pellegrini said his side are not favourites to progress despite a 2-2 draw away to Paris St-Germain in the first leg of their Champions League quarter-final.