The midfielder provided the difference with his goal in the second half, but he believes his team should have gone on to extend its lead against its Spanish opponents.
The Portugal international scored the game's only goal in the second half after good play from Alex Sandro, but speaking after the game, he said his side had chances to build on their position.
"We controlled the match from beginning to end and could have extended our lead," the 26-year-old told A Bola. "We played a good game and it was a good result.
"The important thing was to win without conceding a goal, and we will work hard in Malaga to progress to the next round."
When asked about whether he may have been offside when he scored in the 56th minute, the former Sporting Lisbon man refused to be drawn on the matter.
"I saw Alex on the left, so I moved into the area and managed to connect with the pass and soon I was celebrating," Moutinho said.
The return leg at La Rosaleda will take place on March 13.