The Bundesliga outfit secured a 0-0 draw at La Rosaleda, meaning that the quarter-final tie is all square heading into next week's second leg at the Westfalenstadion.
"We didn't take our chances and had to stay calm in order to get a result in the end," Klopp told UEFA.com. "We somehow lost a bit of determination towards the finish and Malaga started playing better.
"We had the better chances and a 0-0 draw is a result we can live with. A lot of the things that we did, we did well but we lacked that final touch.
"We played well against tough opposition. Malaga played as we expected them to, yet I think we managed to leave an impression with our performance. We managed to avoid injuries and suspensions here and now we look forward to next week."
Die Borussen take on Augsburg on Saturday before the return leg on Tuesday.