Wenger had queried the Blues' decision to countenance the Spaniard's departure to the floundering reigning champions amid conspiracy theories Jose Mourinho may be selling the frustrated Mata to United to help strengthen United and take points off of Chelsea's title rivals Arsenal, City and Liverpool - each of which United must still face.
Pellegrini added his voice to the debate by questioning why Chelsea would be so keen to get rid of the Blues' two-time player of the year.
"United are getting a very good player, but personally I do not agree that a transfer like this can happen in the middle of the season," the Chilean told reporters. "I do not think a player should be allowed to go from one club to another in the same league in January.
"It is not correct at this stage of the season. Maybe Arsene Wenger had a correct reason, when he pointed out Chelsea have already played United home and away, but my argument is a more general one.
"I just feel that if a player has made more than five or six appearances for his club, then he cannot join another one in the same league at the midway point.
"I just think if a player plays for a club for more than half of the season, a club with money can take the best players from the other teams."
While Pellegrini was clearly unsure of Mourinho's motives behind the deal, Pellegrini believes it will be United and not Chelsea who will benefit from the protracted Mata transfer.
He added: "The rules are the rules, so you play by them, but I just think they should change. I am not saying scrap the January window, just change it.
"I don’t particularly think Chelsea will gain an advantage from this. Maybe Manchester United have an advantage because Chelsea wanted to sell him.
"Maybe United have an advantage in this case. I am talking about general reasons and not the specific reason that they have played already against them. I think in this transfer window, players that play more than five or six games for the same club cannot change to another.
"I do think Mata is a very good player. It is a shame he didn’t play often this year at Chelsea. That was strange, but I think United buy a very good player."
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