The German champions go into the first leg on Wednesday as favourites to reach the last four, but Sahin, who played against Malaga four times during his spell with Real Madrid, insists such tags are meaningless at this stage of the tournament.
"I know Malaga from my time at Real Madrid. I've played four times again them, and they made it really difficult for us on three occasions,” Sahin told Ruhr Nachrichten.
"They don't have anything to lose. Nobody had them on the list for the quarter-finals.
"They'll be able to play their game freely, which could be a problem for us.
"We can't let them find their rhythm. This is crucial. Other than that, their football's looking pretty good. We'll have to be there from the first minute.
"In the quarter-finals, there are no favourites anymore. We might have a slight edge though as we'll play the second leg at home.”