The Norwegians won the first leg 2-1 and the decider will be at the Stadio Olimpico next Thursday.
There was allegedly an ugly incident after the final whistle, as Pellegrini accused the Bodo/Glimt tactician of assaulting Nuno Gomes.
“Something truly unpleasant just happened,” the captain told Sky Sport Italia.
“Their coach just attacked our goalkeeping trainer. First he said a few things to him, then physically attacked him.
“It’s really sad, because behaviour like this is an insult to Roma, to the players and the staff. It is shameful.”
According to Sky Sport Italia, Norwegian police interviewed Knutsen, Nuno Gomes and the players who witnessed the altercation.
Pellegrini was also critical of the artificial playing surface in Norway, especially after Gianluca Mancini went off with a knee injury.
“The shame is reaching a quarter-final where the ball bounces and you have no idea where it’s going to go. However, that mustn’t be an excuse, because in a week’s time there is a battle we want to win.
“I am honestly still shaken by what I just saw, it’s absolutely shameful. Now we want to send Bodo home, also because of what happened off the field.”
— Gianluca Di Marzio (@DiMarzio) April 7, 2022
— FK Bodø/Glimt (@Glimt) April 7, 2022