The 28-year-old, signed from Borussia Dortmund in the summer, was forced off during the Premier League defeat to Tottenham.
Following an operation, Ukraine international Yarmolenko is now facing a lengthy spell of rehabilitation, which is expected to be at least five months.
Pellegrini understands that to get Yarmolenko, who had scored two goals for the Irons, back firing on all cylinders and ready to make an impact by the start of May might be a tall order.
"Yarmolenko has had surgery and he will be out for around five months. It's very disappointing. He's an important player for us," the boss said.
"He's one of the players who arrived this season, so we could have more technical players. We also have Manuel Lanzini and Jack Wilshere out, so three players in the same position are out.
"It's a real pity and it's really difficult for the team."
Pushed on a time frame for Yarmolenko's expected return, Pellegrini said at a press conference: "It's so difficult to know how he will recover, but I don't think it will be less than five or six months.
"You need to recover your best shape, recover your trust, it is not easy."
Midfielder Pedro Obiang is carrying a calf problem, so will not be available this weekend for the Premier League match against Leicester.
Despite finding himself somewhat depleted of options, with the likes of Carlos Sanchez and Winston Reid also still sidelined, Pellegrini hopes it will prove an opportunity for others to step up.
"Of course it is difficult when you have so many important players out and you know they are long injuries, but I always say the same thing, you have a squad, not just a team," he said.
"Now is the moment for another player who maybe didn't have a chance before to take that chance now.
"I hope that we will continue being a competitive team."
West Ham travel to Leicester looking to avoid a third successive Premier League defeat after a second halted their revival.
Pellegrini said: "If you review our fixtures then in the first 10 games we played eight teams in the top half, now we have teams that are similar to us. (However) that doesn't guarantee you are going to beat them.
"Our best games we played were against Arsenal, Manchester United and Tottenham, Chelsea, the big teams.
"We must know where we need to improve and play like we did against Tottenham for 90 minutes, but we need to start scoring."
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