Pellegrini questioned the impartiality of referee Jonas Eriksson and accused the Swede of deciding the outcome of Tuesday's 2-0 loss to the Spanish champions.
"UEFA has mandated a disciplinary inspector to commence an investigation concerning the press interviews given by the Manchester City FC head coach Manuel Luis Pellegrini," UEFA said in a statement.
"Based on the outcome of this investigation, a decision will be taken on whether disciplinary proceedings will be opened."
Pellegrini told a news conference that Eriksson should be very happy "because he decided the match".
He added: "The referee was not impartial. He did not have any control of the game."
City fell behind in their last-16 first-leg clash when Eriksson awarded a penalty to the visitors in the 53rd minute for a foul by Martin Demichelis on fellow Argentine Lionel Messi that appeared to take place outside the area.
To compound the punishment, Demichelis was sent off, leaving City to play the rest of the match with 10 men.
Messi fired home from the spot and Dani Alves added a second goal in stoppage time.
Image: Manuel Pellegrini
Photograph: Laurence Griffiths/Getty Images
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