The Spanish club have reached the quarter-finals in their debut season in Europe's elite club competition after knocking out Porto in the last round.
Joaquin thinks that his side can continue to defy the odds by rising to the challenge of hosting Dortmund in the first leg of their tie on Wednesday.
He told reporters at a press conference: "These are the matches we like to play as players. We are pleased to be able to enjoy this atmosphere with the fans. The Malaga fans will be plentiful all around the stadium.
"These are games where the big teams show their mettle. At home we have not yet said the last word. We are very close to an impressive dream, and none of us are ready to wake up from it yet."
Manuel Pellegrini's side are unbeaten at home in Europe this season.