Atletico beat Czech side Viktoria Plzen 1-0 on Thursday night with a second-string side that did not include regulars Thibaut Courtois, Diego Godin, Radamel Falcao and Arda Turan.
The win saw the reigning Europa League champions consolidate their position at the top of Group B, but Simeone is ready to go straight back to business with a tough match against a team who look set to push them all the way for Champions League football this season.
"Malaga are a tough and difficult rival," Simeone told www.mundodeportivo.com.
"They are difficult. A tough opponent. They are a team that plays very well and we must be careful."
The game will see second-placed Atletico, who are two points behind leaders Barcelona, play the side just below them in the overall standings.
Malaga return to domestic action after their perfect start to their first Champions League campaign continued with a convincing 3-0 away win over Anderlecht.
It was the same scoreline they enjoyed on their competition bow when they thrashed Zenit St Petersburg, and manager Manuel Pellegrini believes his side could pose a threat in both European and domestic competitions.
He told French channel Canal+: "We have made a very complete game on both the offensive and defensive.
"We got good movement from the team but that's less important than the attitude to go out and seek victory in each game, no matter who plays."