The Qatari-backed side, in Spain's Second Division just five years ago, have accounted for AC Milan and Porto to get here: a quarter-final against reigning German champions Borussia Dortmund.
"If we are here it is because we have proved we are a great team," winger Joaquin told reporters ahead of Wednesday's first leg at the Rosaleda Stadium.
Manager Manuel Pellegrini led another set of debutants, Villarreal, to the semi-finals in the 2005-06 season and has no injury concerns as he plots a repeat.
Jeremy Toulalan, Martin Demichelis and Roque Santa Cruz are experienced campaigners, while Isco, with free rein to dart between flanks behind the frontman, should give Jurgen Klopp plenty to ponder.
Malaga have kept nine clean sheets in their 12 European home games but face a stern test from a swashbuckling Dortmund side that has scored 91 goals in all competitions this term.
Robert Lewandowski, who has netted 13 time in 13 games, will lead the line, supported by Mario Goetze and Marco Reus, who is expected to have recovered from a knock to the ribs.
Defender Marcel Schmelzer will need a facemask but is likely to play despite breaking his nose in a 2-1 win over Stuttgart, while midfielder Blaszczykowski has travelled but is nursing a groin injury.
Midfielders Sven Bender and Kevin Grosskreutz are doubts with ankle problems but Mats Hummels (also ankle) is certain to miss out.
Despite being described by Pep Guardiola as Europe's most entertaining side this season, Dortmund trail Bayern by a massive 20 points in the Bundesliga. Progress to the last four here - and beyond - would be some panacea.