The Russian champions, beaten 3-0 by already-qualified Malaga in their group opener two months ago, conceded two goals in the space of two minutes early in the game to find themselves deep in trouble.
Diego Buonanotte opened the scoring from close range in the eighth minute before Seba took advantage of an errant pass by Zenit keeper Vyacheslav Malafeyev to fire into an empty goal a minute later.
Portugal winger Danny pulled one back for the home side four minutes after the restart as the Russians put the visitors under siege in the second half.
Alexander Kerzhakov wasted a great chance shortly after Danny scored when he hit the side of the goal from a tight angle after rounding the Malaga goalkeeper.
Substitute Viktor Faizulin finally struck an 86th minute equaliser but the Spaniards held on for a point to seal top spot in the group in their first Champions League campaign.
"We got the point we needed and the squad responded in the way we wanted," Malaga coach Manuel Pellegrini told Spanish TV.
"I am very pleased with the players who had a chance to show what they can do against a great team like Zenit, who have players of great quality.
"I am very pleased to have topped the group and to have been able, more or less, to give some players a rest ahead of our La Liga match [at home to Valencia] on Saturday.
"We played a very good first half but their early goal in the second lifted their spirits. We had a few chances to get a third goal but we couldn't manage it."
Zenit, who had substitute Vladimir Bystrov sent off for dissent after the final whistle, were eliminated after AC Milan beat Anderlecht 3-1 away in the other group game to go through.
A battle with the Belgians for third spot and a Europa League berth is all Zenit have left to play for when they travel to Milan on December 4.
"It's very hard to come back when you are two goals down after just 10 minutes," Danny told Russian television NTV Plus.
"But we tried, we did our best, we missed many chances in the first half. We scored twice after the break and could have added a third but just ran out of time."
Zenit's preparation for the Malaga game had been hampered by turmoil surrounding their league match at Dynamo Moscow, which was abandoned last Saturday after the Dynamo goalkeeper suffered an eye injury from a firecracker thrown by visiting fans.
Luciano Spalletti's team could be handed a 3-0 defeat and a hefty fine from the Russian FA.
A disciplinary hearing was scheduled for Thursday.
