The 22-year-old forward is aware that a tricky task awaits his side, but feels they are capable of coming away from the match with all three points
The 22-year-old is enjoying a new found freedom for the Rossoneri and scored his first goal for the club in the 5-1 thrashing of Chievo.
And with his side sat in second place in Group C - five points behind the Andalusians - Bojan is eager to make home advantage count at San Siro.
"We are Milan and we are playing at home," he stated a press conference.
"Malaga have shown that they can play excellent football and that they have plenty of quality in midfield but we are Milan and when we have the ball we can do very well.
"Malaga have yet to concede a goal in the Champions League but they are not unbeatable. We will see."
When asked about his individual performances the Spaniard was upbeat, but admitted he still has a lot of work to do to improve.
"I am very happy at the moment, but I also know that I can still improve a lot," he added.
"I am only 22 and there are lots of things I can learn still. I work hard and train as hard as possible to do as well as possible, and that is all that can be asked."