As revealed by Goal, Manchester City boss Manuel Pellegrini has former charge Caballero at the top of his list of possible replacements for Joe Hart after the England international was dropped following a number of high-profile errors.
Darder is reported to be on Tottenham's radar after catching the eye in La Liga this season but the teenage midfielder has a release clause understood to be worth €40 million (£33.6m) in a new contract that he signed earlier in November.
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He told Cadena Ser: "We will not sell Willy Caballero or Sergi Darder in the January market.
"[Caballero] will not leave unless someone pays his release clause and he is in agreement. At the moment we are focused on building the squad."
Darder, 19, broke into Malaga's first team this season and has made 11 Primera Division appearances for Bernd Schuster's side.
Experienced keeper Caballero joined the Spanish club from Elche in 2011 and is contracted until 2017 after putting pen to paper on a new deal in September.