The defender has urged his side to concentrate fully against the German champions, but insists they remain confident in their chances
Manuel Pellegrini's side face the German champions in the first leg of their last-eight tie on Wednesday, and the Brazilian insists they must be alert throughout the fixture if they are to secure a positive result.
"The best eight teams are left in the competition and now we are at that stage the games are very balanced," he told reporters at a press conference.
"We know we will have to play the perfect game and be attentive for 90 minutes against Dortmund."
Malaga, who defeated Porto in the last 16, have proven the surprise package of this season's tournament as they continue to defy the odds in their maiden Champions League adventure.
Although they remain underdogs for the last-eight encounter, Weligton insists the squad is confident they can pull off another upset and reach the semi-final stage.
He added: "The atmosphere couldn't be better among our group. We all know just how important this match is but we are confident.
"We hope to be able to play our football and get a good result."