Maloney opened the scoring on Saturday before Callum McManaman added the second as Wigan ended Millwall's cup hopes at Wembley.
But the Scotland international says there is no time to celebrate as Wigan sit in the relegation zone with seven games left of the season, starting with a trip to reigning champions Manchester City on Wednesday.
"It's imperative we stay up," said Maloney.
"Obviously it's a major achievement to have reached the final but, it sounds pretty harsh, we are straight back in training and it's back to league business.
"We have a big game against Manchester City on Wednesday. We have to put the cup to the back of our minds for the next few weeks.
"We've got that massive game and then West Ham at the weekend so we are just going to have to forget about the cup."