The Portuguese outfit won 1-0 in the Estadio do Dragao, thanks to a goal from Joao Moutinho.
Malaga must now score twice and keep a clean sheet or better to progress to the last eight on their Champions League debut.
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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.