The 21-year-old joined the Baggies on loan from West Ham in the summer but his eye-catching displays have led to speculation he could be recalled to the London Stadium in January.
Ppeaking at a press conference on Thursday, though, Pellegrini said he is pleased with the way Diangana is developing at The Hawthorns – with the Chilean eager for the wideman to play at least 40 games this season.
And Bilic also feels it is in Diangana's best interests for him to stay with Albion.
"Of course – Pellegrini is a great manager, he’s done everything," Bilic said when asked if he was pleased to hear Pellegrini's comments.
"But I really think that for us, for West Ham and for Grady, it’ll best for him to stay and to grow up as a player.
"Grady is nowhere near the finished article. He’s a young player who is enjoying it.
"It’s his first season where he’s an important part of the team that is fighting for something.
"I’m not only talking about the pressure and everything, it’s also off the pitch. It’s great for him. He’s on a great path, he’s enjoying every game.
"He’s raising his game, he’s growing and it would, for me, not be good for him and also for West Ham long term – and for us, of course – to stop that process."
Albion also have their own promising youngsters out on loan with Jonathan Leko and Sam Field both doing well in the Championship at Charlton.
And Bilic sees similarities with them and Diangana – with Albion's head coach keen for the duo to remain with the Addicks to ensure they continue to play.
"It’s the same with them (Leko and Field)," Bilic continued.
"That was part of the plan. That was the reason we sent them there because we were thinking about them, the players, but also about West Brom.
"We didn’t think about Charlton – I’m not going to lie and say we wanted to help Charlton – but we were thinking about two things – what is good for the players, and West Brom in the long term.
"If we were thinking in the short term, it’d be great to keep them here and for them to wait for a chance, that’s even if a chance comes.
"That wouldn’t be good for them of course, and not for West Brom long term.
"Although it might happen at some point in the season that you’re going to need players, but that’s not a reason to have 40 players in your squad.
"Sam and Jonathan are a great example of that. I told them, you’re going to come back here and knock on my door and say I want to play here - I’m good enough.
"They are that way to be fair, same with Grady and West Ham. It’s about perspective."