The Spanish outfit could have to sell players this summer to aid their financial problems as owner Sheikh Abdullah Al-Thani's interest in the club has waned over the past months.
"We are waiting on them, the directors, to decide things internally and tell us what they are going to do with the club in the future," ESPN quotes Baptista as saying.
"We must keep to the side of what happens internally. It is difficult, but we must keep away from non-sporting matters, and focus on playing and trying to win points. The most important thing is what we are able to do out on the pitch."
Malaga will take on Real Madrid at the Santiago Bernabeu in La Liga on Wednesday.