The 20-year-old, who recently signed a new deal at the side he joined in 2011, has been one of the star performers in Spain's top division this season.
"I'm not worried as I'm only thinking about being here. If a team does come to pay a lot of money for me, it will definitely be a big club. Then, if it helps Malaga, I would have no problem in leaving if it was good for both of us," he told AS.
A host of European clubs are understood to be monitoring proceedings.