The Anadalucians had been 1-0 behind after the first leg but performed superbly at La Rosaleda to progress.
Isco netted the first goal for Malaga before half time and Roque Santa Cruz netted the crucial second.
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Summer 2016 is set to be a very exciting time for football fans, as this is when the long awaited Euro 2016 tournament kicks off.
Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.