Dortmund were drawn against the Spaniards, who are making their debut in this season's competition, on Friday.
"We were worried about Porto but they were knocked out by Malaga," Sahin told reporters.
"I know them from my days at Real Madrid. They played very well against us when I was in Spain. We should definitely not underestimate Malaga."
German champions Dortmund defeated Shakhtar Donetsk 5-2 on aggregate in the last round to book their place in the quarter-finals of the tournament for the first time in 15 years.