The hosts led 9-8 at half time but were swamped in the final quarter as the Chiefs ran in four tries with Nic Sestaret and Jack Nowell both going over twice.
"It was a good battle for the first 40-50 minutes and throughout the game we carried the ball well and controlled the game," Pellow said.
"In the first half we lacked a bit of precision but we were always creating chances."
Next up for Exeter in the LV=Cup are the Ospreys at home on Saturday and Pellow insists the Devon club will be taking the competition seriously.
"We want to be competitive in every competition we enter, the Heineken Cup, the Aviva Premiership and this one.
"For this young side to get a bonus point-victory here today stands us in good stead for next Saturday."
London Welsh coach Lyn Jones was determined to focus on the positive despite the one-sided looking scoreline.
"We were quite competitive for the first 40 minutes," he added. "I was quite pleased with certain aspects of our game.
"Today was a good workout. Our set piece and line-out was strong but give full credit to Exeter, they played flat out.
"We got it back to 18-15 but then the white flag came out for the last 20 minutes as we lost our shape."
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