The German side squandered a number of chances but came away with a 0-0 draw, and Subotic said that a similar showing next week should be enough to see them through to the semi-finals.
"There is really nothing I can criticise my teammates for," UEFA.com quotes Subotic as saying.
"They put in the effort. Up front they created lots of opportunities to score and I am sure that if we put in at least the same effort again in the second leg then we will create sufficient chances to score a goal.
"Malaga did not make it easy for us at all. They are a good team. Just look at the first half, they put in a huge effort, they defended well - this is a good side which plays quality football. We want more. We want a goal and it is in our hands because all we have to do is win the home game."
The second leg kicks off in Dortmund on Tuesday night.