By ESPNSTAR.com staff
Ex-Spain international Joaquin bounced back from missing a first-half penalty by grabbing a 64th-minute winner and keep Los Boquerones's perfect record in Group C intact.
In total, they have picked up maximum points from their opening three games, scored seven goals and are yet to concede, something which Pellegrini believes is down to every member doing their part.
"Tonight's [Wednesday's] game was very important for us against a team like Milan" he said on UEFA's official website.
"I thought my team did well - we were always looking to get into our opponents' area. At the other end, our defending was also good.
"The scoreline doesn't really reflect the game. The fact that we have yet to concede means we are defending well.
"We are always looking forward, looking to attack, which is the most important thing."
The Chilean tactician also believes his team are now in a good position to qualify for the knockout round of the competition, and is quietly hoping he can emulate his achievements in the 2005/06 season, when he led an unfancied Villarreal side all the way to the semi-finals.
"I have full faith and confidence in all my players," Pellegrini added. "We will be looking to secure qualification next but for now, we must focus on La Liga again.
"There are characteristics in this Malaga side that are similar to Villarreal. We have to now forget the UEFA Champions League, with our nine points in the bag, and start to focus on our match against Espanyol in La Liga."
Malaga qualified for this season's Champions League after finishing fourth in Spain's top flight last term, although they ended a staggering 42 points behind eventual winners Real Madrid.