Coach Manuel Pellegrini and his players have propelled the Costa del Sol club to unprecedented success despite uncertainty over the commitment of their Qatari owner and cash-flow problems that prompted a ban from UEFA competition from next season.
Chilean Pellegrini has moulded a squad of experienced campaigners including Joaquin, Martin Demichelis, Jeremy Toulalan and Roque Santa Cruz into a highly efficient outfit, with promising youngsters like Isco providing a creative spark.
"If we are here it is because we have proved we are a great team," the 31-year-old told a news conference on Monday.
"This is the time when the great teams express themselves and we have not said the last word here at the Rosaleda," he added.
"We need to be an aggressive team, playing the way we know and taking the initiative."
Malaga's success is in large measure down to their well-drilled defence, one of the meanest in La Liga this season, and preventing Dortmund from scoring an away goal could be key to their chances of progressing after next week's return leg.
Known as "the engineer", the cerebral Pellegrini led an unfancied Villarreal team to the last four before they were narrowly beaten by Premier League side Arsenal.
"This is a tie lasting 180 minutes in which we have to be intelligent, dominate the match but without forgetting the return leg," Pellegrini told a news conference after Malaga's 3-1 La Liga victory at Rayo Vallecano on Saturday.
"Hopefully we will go to Dortmund with a solid advantage," added the former Real Madrid coach, who was sacked in 2010 to make way for Jose Mourinho.
With only one trophy to chase for after losing the domestic battle to Bayern Munich this season, they are eager to leave their mark on Europe's elite club competition.
"That was a good preparation for Malaga because it will be equally intense in the one-on-ones," coach Jurgen Klopp said of their Stuttgart win.
