The Costa del Sol outfit host the seven-time European Cup winners in a Group C clash at La Rosaleda on Wednesday night and although the Milanese have suffered back-to-back defeats in their domestic campaign, Pellegrini says they are still a giant of the world game.
“Milan may not be having a good season in the Italian league, but in the Champions League they have four points from six and will be a tough opponent,” said Pellegrini.
“They are going through an important cycle of change, with many different players from last season. We must worry about ourselves, and reaching a high level to beat them.”
The former Real Madrid coach also claimed his side will not change their approach to the game against Massimiliano Allegri’s team.
He added: “We will play the same way we did against Zenit and Valladolid, trying to play our football. In all games, the mental part is fundamental. All clubs must have high levels of concentration and intensity to compete at this level.
“Then there is the individual element, which can decide a game. We have players like Joaquin and Isco who can make the difference.”
Malaga currently top Group C with maximum points from their two games, whilst Milan sit second with four points.