The BVB boss feels his side will improve its effectiveness ahead of the difficult encounter against Manuel Pellegrini's men on Tuesday.
The deposed Bundesliga champion missed a number of chances during last week's 0-0 draw at La Rosaleda but the team's boss is confident that there will be no such wastefulness this time around.
"Our big mistake in the first leg was not squandering chances, but how we reacted to it," the 45-year-old told reporters.
"We have to do better than that tomorrow and I believe we will. The atmosphere was really good in Malaga, but I am convinced we can top that tomorrow, and we will need the fans to get behind us."
The former Mainz boss went on to emphasize that his side will not be taking anything for granted when against the Andalusians.
"Everything's set for a good match - including our opponent," he continued. "I have no idea why people think you can just win at Malaga like that. They are a strong opponent, but we are fully in the tie. Those who need guarantees in football should close their eyes for 90 minutes tomorrow."
BVB has been missing Mats Hummels and Jakub Blaszczykowski recently through injury but Klopp is optimistic that both will return to the fold.
"Things are looking positive for the doubtful players, Hummels included," he added.