Demichelis said that not conceding was important and as such it gives Malaga the chance to "battle" for the win in Germany.
"Amongst the positive things from this performance is that we didn't concede," UEFA.com quotes Demichelis as saying. "It'll be difficult in Dortmund, a stadium where you always come under a great deal of pressure.
"[However], we won't go to Germany suffering any kind of fear about what might happen. The tie is still totally open.
"We can go to Dortmund and score. We did so in the San Siro, we did so in Russia and I see no reason why we shouldn't do so again in Germany. Theirs is a dangerous, high-quality side but our squad is full of real men. We'll take the battle to them over there."
Malaga goalkeeper Wilfredo Caballero was in inspired form on Wednesday night to keep out Dortmund.