The Netherlands international has underlined the importance of Tuesday's encounter, and was pleased with the Rossoneri's showing in the win over Chievo
The Rossoneri currently sit second in their section with four points from three games, and the Dutchman is desperate to add three more points to their tally at the San Siro.
"We must win against Malaga because we really need the full three points in the Champions League," the former Ajax man told Milan Channel.
"Malaga are a good team, though, and they are likely to come to Milan with a bit more defensive attitude than in the away game."
Emanuelson also briefly looked back at Milan's 5-1 Serie A win over Chievo at the weekend, and was very pleased with his side's performance.
"Against Chievo we played attacking football and you can see the result. It was also a win for our coach Massimiliano Allegri."
Milan climbed to 10th spot in the Serie A table following this weekend's results.