Zenit St Petersburg's 1-0 victory at AC Milan, who clinched second place last month, sent the Russians into the Europa League in third spot with seven points, one behind the Italians and two ahead of the Belgian side.
Unbeaten Malaga, making their debut in Europe's elite club competition, topped the group on 12 points.
Malaga captain Duda had put the home side ahead with a fine curling effort just before the break but Milan Jovanovic's deft chip made it 1-1 five minutes into the second half.
The visitors pressed for a winner, which would not have been enough to secure third spot because their goal difference would still have been sorse than Zenit's, but Carlos Kameni pulled off another excellent save to deny Mbokani in added time.
"They had chances but Kameni made some good stops," Malaga coach Manuel Pellegrino, whose side have been struggling in La Liga in recent weeks, told a news conference.
"It was an entertaining game for the fans but the goal is achieved and we'll see now how many points we'll have in La Liga at the end of the year," he added with his side lying fifth in the domestic standings on 22 points from 14 games.
Anderlecht had not won on the road in the Champions League since a 1-0 success at Malaga's La Liga rivals Real Betis in the 2005/06 group stage.
"We have played against a great team," Anderlecht midfielder Lucas Biglia said on www.uefa.com.
"We knew that it would be tough, but we wanted to complete a good Champions League," added the Argentine. "Malaga have great players and tonight they showed it."
