Real are still smarting from their unprecedented 4-0 drubbing on Tuesday by third-tier side Alcorcon in their King's Cup first leg, and doubts have been raised in the Spanish media about Pellegrini's future ahead of their la Liga match at home to city rivals Getafe on Saturday.
"I would like to send a message to calm the fans," Perez, who spent 250 million euros on players including Cristiano Ronaldo and Kaka in the close season, said on Wednesday.
"We have to remember that a lot of new players arrived before the start of the season and this requires a period of adaptation."
"The season is only two months old and we are still trying to create a team."
Tiny Alcorcon, who play in the same league as Real's youth team and have a budget more than 400 times smaller than the Spanish giants, managed to humiliate Pellegrini's side despite the presence of Spain defenders Raul Albiol and Alvaro Arbeloa, and several other internationals.
The defeat followed last week's 0-0 La Liga draw at Sporting Gijon that allowed champions Barcelona to open a three-point lead at the top of the standings and a 3-2 home loss to AC Milan in the Champions League.
"We are sad and upset but we know we have another match on Saturday and we have to turn the page," he said on the club's website.
"We are with the coach to the death and we have to translate his ideas onto the pitch."
Ronaldo will again be missing on Saturday and will be out of action at least until he has another test on his damaged ankle in a week's time, the club said on Wednesday.
Getafe coach Michel, a former Real player and ex-director of their youth programme, said his players were full of confidence after Wednesday's 2-0 King's Cup win at home to Espanyol.
"We are coming to Madrid in good spirits and in good shape," Michel said after the match.
"Sometimes at the Bernabeu that's not enough but the important thing for us is that we play our game and stay solid."
