Over the last few days Wenger, whose Arsenal side play City at Wembley on Sunday in the Community Shield, has questioned both signings
Former Chelsea midfielder Lampard has headed to the Etihad Stadium on loan until January from New York City FC - Manchester City's American sister outfit, who the 36-year-old England international signed for earlier this summer.
The Barclays Premier League champions were hit with sanctions from UEFA for breaching financial fair play rules in May, and when asked about the Lampard deal, Wenger said: ''Is it a way to get around the fair-play? I don't know."
The Frenchman has also subsequently suggested that Sagna's move to City this summer after his Arsenal contract finished was "agreed a long time ago"
But asked on Friday if he was happy that everything as far as the Lampard and Sagna deals had been done correctly, Pellegrini said: "I think so."
The Chilean added that he was "surprised" by Wenger's comments, adding: "I think as managers we have enough problems with our own teams to be talking about other teams.
"The only thing I can say is that we have important restrictions about the amount of money we can spend, and Frank Lampard was a free player - we didn't spend any money in bringing him from New York City to Manchester City."
Pellegrini is baffled by any negative reaction there has been to Lampard's move, including from Chelsea fans upset to see him at a Premier League rival after 13 years at Stamford Bridge.
"I don't understand the reaction of Chelsea fans who say he is a traitor," Pellegrini said.
"The problem was not that Frank Lampard did not want to sign another contract with Chelsea - Chelsea didn't want him any more.
"He is a competitive player, he will be important for our team and we didn't spend any money on him, so the rules of financial fair play don't have any relation with Lampard."
Neither Lampard nor Sagna will be part of the squad for Sunday's game - among eight City players that are set to miss out.
That also includes Sergio Aguero, Pablo Zabaleta, Martin Demichelis, Fernandinho and skipper Vincent Kompany, all of whom - like Sagna - were involved in the knockout rounds of the World Cup.
Meanwhile, Alvaro Negredo is recovering from a foot injury.
But there could be debuts for two other new signings City have made this summer in goalkeeper Willy Caballero and midfielder Fernando.
City are also expected to wrap up a deal for Porto's France defender Eliaquim Mangala, but Pellegrini was giving little away on that front on Friday.
"I always say the same answer - when things are finished, we can talk about that," he said.
"For the moment, Mangala is not our player."
Source : PA
Source: PA