Arbeloa remains absent with a knee injury sustained in the 2-2 draw at rivals Atletico Madrid on March 2.
Dani Carvajal is also unlikely to feature after he was taken from the field on a stretcher in the latter stages of the 3-0 victory over Levante last weekend.
The duo's absence would pose a headache for head coach Ancelotti, with the Italian experimenting with the idea of playing Nacho Fernandez in the right-back position, despite him being largely recognised as a centre-back.
Sergio Ramos - who played at right-back earlier in his career - remains a possibility but Ancelotti believes that option is a "last resort".
"We miss Arbeloa," he said. "We miss his attitude, personality and professionalism in the field and in training.
"I've tested Nacho in the right-back position this week. He is able to play anywhere in defence.
"Sergio Ramos is our last option for the right-back position. He played there in the past but he is our last resort."
Real head to Estadio La Rosaleda with a three-point cushion on second-placed Atletico, and another point on reigning champions Barcelona.
Ancelotti, however, believes the title race will go to the final week and urged his players to remain fully focused on the Malaga match, and not become distracted by the second El Clasico of the season against Barcelona on March 23.
"All of our remaining games are equally important," he added. "The team has trained well and is focused this week.
"I have a lot of faith in the professionalism, seriousness and character of my players. Tomorrow's match is crucial. We play a very good team who aspire to become better.
"I believe that everyone, including the players, think that the league will be decided in the last round.
"I hope we continue with the same intensity we had against Levante.
"We are not talking about the Clasico at the moment. We have to focus on Malaga and have another match with Schalke (to come first)."
Thank you for reading 5 articles this month* Join now for unlimited access
Enjoy your first month for just £1 / $1 / €1
*Read 5 free articles per month without a subscription
Join now for unlimited access
Try first month for just £1 / $1 / €1