Pellegrini was forced to withdraw from the Italy squad for the competition just a day before it was due to start - with Gaetano Castrovilli replacing him in Roberto Mancini's group.
Pellegrini, who missed the final stages of the domestic season for the Giallorossi, suffered a setback in his recovery from that issue.
Pellegrini subsequently posted on Instagram about his disappointment.
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"Unfortunately this annoying thigh issue will prevent me from playing in the Euros this summer," Pellegrini said.
"Right now there is a lot of bitterness … but it’s now more than ever that we need to put that to one side and support this fantastic group of great guys that will undoubtedly give it everything they have from kick-off until the final whistle. I believe. Good luck lads. Forza Italia. All together."
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