The Qatari-owned club have won all three games to top Group C ahead of seven-times European Cup winners Milan, who they beat 1-0 at the Rosaleda two weeks ago. The Italians are second with four points.
"Milan have earned their place in history the hard way over many years," Malaga coach Manuel Pellegrini told a news conference on Monday.
"We don't have as much history, but it isn't the history that plays the game as we showed in Malaga. We have proved ourselves to be competitive.
"Many wrote us off as mere participants, but we have nine points and tomorrow we are going to look for a win. If a team goes out to look for a draw, they lose. Of this, I have no doubt."
Malaga's Portuguese full-back Eliseu, their joint top scorer in Europe with two goals, agreed with his Chilean coach.
"We know we only need one more point, but we will go looking for the win," he said.
"I don't think we are under any pressure even though we want to win. It is an important game for us and for the future of the club.
"The pressure is on Milan because they are behind us and because they are playing in front of their own fans."
The club from the Costa del Sol have the joint-best defensive record in La Liga, in which they lie fourth, and have yet to concede in three Champions League matches.
They are boosted by the return to fitness of France midfielder Jeremy Toulalan who has been out of action since September with a thigh muscle injury.
