The Boquerones boss believes that Diego Simeone's team will be formidable opponents and are expected to win Sunday night's Liga encounter in Andalusia
Los Rojiblancos will retain second place regardless of the outcome of the game against the Andalusian outfit, who sit 14 points behind them in fourth.
Speaking in a pre-match press conference, Pellegrini was quick to identify the challenges his team will face, singling out Costa for particular attention.
"Atleti have been playing with conviction and intensity," the 59-year-old Chilean told journalists.
"They are certainly a strong team. Every one of their players is at a high level and play at the highest possible stage.
"Diego Costa, especially, is going through a great spell, but I do not want my players focusing on just one of theirs."
Atletico go into the game on the back of a 2-2 draw against Sevilla on Wednesday, which was enough to seal a 4-3 aggregate win and send Simeone's team to the Copa del Rey final where they will face local rivals Real Madrid.
However, Diego Simeone would not allow this to stand as a distraction.
"I only want to think about this match, not the cup final," the 45-year-old coach emphasised. "I can't make anything happen, so I'm not thinking about it.
"Malaga have had a lot of problems, but they are a great team."
Los Boquerones have taken 42 points from their 25 games, while Atletico have 56 points from the same number of fixtures.