The 2-2 draw saw the Belgian champions finish bottom of UEFA Champions League Group C after Zenit St Petersburg filled the Europa League spot with victory over AC Milan.
Malaga twice took the lead thanks to goals from captain Sergio Duda but were twice pegged back, first by Milan Jovanovic then by Mbokani.
It did not matter, as Manuel Pellegrini's side had already sealed their progression to the last 16 of the competition, with their place as group leaders confirmed after Zenit's 1-0 win over Milan in Italy.
Malaga dominated proceedings in the first half and finally broke the deadlock on the stroke of half-time thanks to Duda.
The Malaga skipper found himself with time and space on the edge of the area to pick his spot in the top left corner of Silvio Proto's goal to give the Spanish side the lead.
But Jovanovic levelled for Anderlecht five minutes after the break, lobbing the ball over Malaga goalkeeper Carlos Kameni and into the net.
Duda edged the Primera Division side ahead again just after the hour mark, the midfielder linking up with Diego Buonanotte to drill the ball home.
It looked as if unbeaten Malaga had earned their fourth win in the group stages before Mbokani had the final word, although the result in Milan meant it was not enough to ensure further European action for his side this season.