Malaga central defenders Martin Demichelis and Helder Rosario were shown the red card in the 16th and 65th minutes at Mestalla, and Chilean Pellegrini was sent from the dugout eight minutes from time.
The former Real Madrid and Villarreal boss missed Valencia's last-minute winner from Aritz Aduriz, having watched his side lead twice in the first half with goals from Jose Rondon.
Despite being down to nine men they scored in the 80th minute through Julio Baptista to make it 3-3 before conceding the late goal.
"I've never seen a refereeing performance like this in Spain before," the normally stoic Pellegrini told reporters.
"I don't want to add any more. Spanish football is already in flames about how to do it and I'm not going to go into details about the performance."
Malaga, who were bought by a member of the Qatar royal family last summer, have been La Liga's most active club in the January transfer market and were the better side even after Demichelis was sent off.
The Argentine was shown a straight red card for tripping Juan Mata in the area when he was clear through on goal, though Pellegrini claimed the Spanish winger was offside.
Referee Rubinos Perez said Portuguese Rosario was shown a straight red card for making a rude gesture at the linesman, and Pellegrini was sent off for entering the field of play and for persistent complaining about his decisions.
The referee added in his match report that as he and his team made their way to the changing rooms they were accosted by players and members of the Malaga coaching staff, who directed insults at them.
The result left Malaga 16th in the standings, a point above the relegation zone with 17 points from 20 games.
