The Spanish novices have won all three of their Group C games so far without conceding a goal - the only team to do so - and have opened up a five-point gap over second-placed Milan heading into Tuesday's trip to Italy.
With Zenit St Petersburg a point further back in third and rock-bottom Anderlecht on one point, Malaga could assure themselves of a top-two finish and a place in the knockout stages with a victory over seven-time European champions Milan.
Demichelis, who was runner-up with Bayern Munich in 2010, knows the prize on offer to the Andalusians, but is also wary of the threat posed by a Milan side who have picked up seven points from three Serie A games since losing at Malaga last month.
A draw at the San Siro would leave Malaga with at least a four-point advantage heading into the final two group games, but Demichelis insists his side's first objective is to try and get a win.
"We need to be conscious that it's going to be a very difficult game. For them it's like a final, they need the three points but we have the chance to seal our passage and to do something historic for Malaga," said Demichelis.
Malaga have included Jeremy Toulalan in the squad, with the French midfielder available for selection after a hamstring injury for the first time since late September.
However, Nacho Monreal, Julio Baptista and Recio were not fit to travel and Juanmi, Francisco Portillo and Fabrice were left behind.
Milan have started to turn things around after a poor start to the season and Saturday's 5-1 home win over Chievo lifted them up to 11th on 14 points.
Coach Massimiliano Allegri said: "We are good physically and now we are gaining confidence. The victory over Chievo was important, above all to continue chasing the teams who are fighting for fourth and fifth place, but we have to continue working."
Milan will be without Luca Antonini due to a thigh injury, but Brazilian forward Robinho is back in training after a similar problem.
Allegri will go with his new 3-4-3 formation against Malaga and will decide between Nigel de Jong and Massimo Ambrosini regarding who will partner Riccardo Montolivo in the centre of midfield.