But following a thrilling 1-1 draw, Lucas Leiva, Philippe Coutinho and Adam Lallana were all denied by Willy Caballero in the penalty shootout, with Yaya Toure scoring the victor to give City the title.
He also remains in the hunt for the Premier League title and the Champions League.
City, who were drawn with Ukrainian champions Dynamo Kyiv in the Champions League pre-quarterfinals, are favourites to advance to the next stage after a 3-1 win in the first leg at home.
“It was a hard decision for me not to continue in the FA Cup, because we won the first two games in that cup 3-0 (against Norwich City) and 4-0 (against Aston Villa), but with 13 or 14 players, it was very important to keep them fresh”. “I’m very proud about the squad that I manage”.
Despite pressure from the media to start with England worldwide Joe Hart in goal, Pellegrini stuck with Caballero (top) who has made just four Premier League starts since moving from Spanish side Malaga in July 2014.
“He had to play against Chelsea with a young team so he conceded five goals but I never lost trust in him because I know how good a player he is”.
“If you are sure you are going to win it, I would want to win it in this way with Willy being the hero”.
Jurgen Klopp was blunt in describing his mood after losing his first major final as Liverpool manager, saying the Wembley defeat felt like “s–“‘.
But the manager hopes the silverware won at Liverpool’s expense can be the springboard for more success during his final campaign at Etihad Stadium.
“I was concerned about the amount of chances we missed but after that we played better in extra-time”, he said. “You have to feel a defeat, you can’t say it’s not important”, the German said. It is how it is.
“He had cramp towards the end, but unless he’s got an injury, I don’t know why he’s not taking a penalty”.
“We are disappointed but I’m pleased with a lot things I saw in the game”, Klopp told Sky Sports.
“But you have to feel a defeat”.
“But you have to feel how it is like this – it’s not the best moment”. It is really important.