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A 1-1 draw at the Stadio Olimpico was enough to secure a 3-2 aggregate victory, booking the Giallorossi a place in the last four of the competition.
Edin Dzeko scored an important goal on the night for Paulo Fonseca's side.
“A great evening," Pellegrini said. "We’ll enjoy it. Our fans, everyone who works with us, they all deserve this."
"We’ll celebrate now, but from tomorrow we’ll start focusing on the next game. Ajax are a great side, we knew that going into this. We knew it would be a tough tie. We showed how much we wanted to win."
Next up for the Giallorossi is a mouth-watering tie with Premier League giants Manchester United.
“We have faced great sides in this competition," Pellegrini added.
"Our aim is to win and get through to the final – but we have to prove that out on the pitch.”
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