Anderlecht striker Dieumerci Mbokani scored a late equaliser but it was not enough to save the Belgian champions' European hopes as Zenit St Petersburg filled the Europa League spot with victory over AC Milan in Champions League Group C.
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 on Tuesday night 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.
Jovanovic levelled for Anderlecht five minutes after the break before Duda edged the Primera Division side ahead again just after the hour mark.
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.
Both sides had a few chances in the first half but there was nothing to trouble either goalkeeper, with Silvio Proto dealing with the home side's threat fairly comfortably.
Malaga goalkeeper Carlos Kameni had one real chance to save in the first period when he tipped Massimo Bruno's shot round the post from Behrang Safari's corner.
However, it was the home side who took the lead just before the break when Duda found the back of the net in the 45th minute.
The advantage was shortlived, though, as Jovanovic levelled the score five minutes into the second half.
The striker lobbed the ball over Kameni and into the net as the visitors looked to keep their Europa League hopes alive.
Jovanovic almost put Anderlecht in front five minutes later when he forced a good save from the Malaga keeper, and he was left to rue his missed chance as Duda put the home side ahead again soon after.
The midfielder linked up with Diego Buonanotte to drill the ball home just after the hour mark, with Mbokani's late strike proving not to be enough for the Belgian side as their European campaign drew to an end.