The Spanish outfit was suspended from UEFA club competitions for one season and fined £244,000 following a meeting of UEFA's Club Financial Control Body for breaching UEFA Club Licensing and Financial Fair Play Regulations.
Malaga, who are due to face Porto in the last 16 of the Champions League, also face being banned for a second campaign unless they settle their outstanding debts.
But a statement from the Primera Liga club said: "Malaga Club de Futbol wishes to communicate its total disagreement with today's UEFA decision.
"The measures taken against the club are absolutely disproportionate and unjustified given the club's situation. We consider that the club is being punished unfairly and used as an example to others.
"Given the total and absolute indignation and consternation on the part of the club, Malaga CF wishes to state that it will work energetically and without rest to achieve justice, using all available necessary means.
"Malaga CF wishes to add that it does not understand, and considers totally incomprehensible and abusive, that after having received this judgement it must now wait an unknown period of time to know the evidence upon which it was taken."
Five other clubs are facing a one-year exclusion unless they can settle their outstanding debts by 31 March; Croatia's Hadjuk Split and Osijek, Rapid Bucharest and Dynamo Bucharest of Romania and Serbian side Partizan Belgrade.
Another Serbian club, Vojvodina, and Ukrainian side Arsenal Kiev were handed fines while a case against Polish side Lech Poznan was dropped.