The Spanish playmaker missed the Gunners’ opening spot-kick in the Capital One Cup quarter-final defeat against Bradford, but has turned his attention to Europe’s premier cup competition.
And the former Boquerones star would be open to meeting the Andalusian club in the next round, even though Manuel Pellegrini’s men are unbeaten in Europe this year.
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“But I know it's a really tough team and is doing very well at the moment.
“I would love an Arsenal-Malaga final at Wembley.”
The Gunners are currently 7th in the Premier League, and after crashing out of the Capital One Cup, Cazorla conceded that Arsenal hadn’t made the best of starts to the season.
“We haven't been consistent,” the Spaniard continued.
“There have been games where we haven't been mature enough as a team and haven't held onto the positive results. We are hoping to make up some ground.”