The Liga outfit will not be allowed to take part in Europe next season if it qualifies due to what the European governing body called "overdue payables."
But the club has announced that it will be appealing to the Court of Arbitration for Sport regarding its decision.
A statement on the Malaga website claimed that the letter that it received from UEFA referred to a interpretation of Spanish tax legislation, while the club reiterated that it has complied with all the required parameters of Financial Fair Play.
Los Boquerones' legal team has 10 days to finalize its appeal or it will face expulsion from the Champions League should it qualify for next year's tournament.
Malaga is in fifth place on 31 points in La Liga.
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