Luciano Spalletti and his squad leave on Friday for Skopje where they will face North Macedonia on Saturday, but Chiesa and Pellegrini have both returned to their clubs after picking up muscle injuries.
"Subjected this morning to diagnostic tests, the Juventus striker (Chiesa) and the AS Roma midfielder (Pellegrini) were unavailable for the matches with North Macedonia and Ukraine," the FIGC statement said.
This is Spalletti's first squad since replacing Roberto Mancini as Italy manager in August. Italy have three points from their opening two Group C games after defeat to England and an away win in Malta.
After the game with North Macedonia, they will face Ukraine in Milan on Tuesday.
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