Former Malaga coach Manuel Pellegrini is reported to be lining up a January bid for goalkeeper Caballero, 32, with England international Joe Hart facing an uncertain future after being dropped by the Chilean at Manchester City.
Darder is thought to be on Tottenham's radar after catching the eye in La Liga this season, but the teenage midfielder has a release clause reported be worth €40 million in a new contract he signed only last week.
Argentine keeper Caballero's release clause is said to be €20m, but Malaga director general Vicente Casado has no intention of selling either player.
Casado told radio station Cadena Ser: "We will not sell Willy Caballero or Sergi Darder in the January market.
"He [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 Liga 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.