Despite dominating the quarter-final first leg tie, Dortmund will be disappointed to be heading home without an away goal following the stalemate in Spain, the first game in the competition this season where the Germans have failed to score.
"We can deal with this tie at home, we are in a position to do it," Dortmund captain Sebastian Kehl told reporters.
"There was more for us to get in the first leg than just a draw. We had an amazing number of chances and should have scored at least one goal.
"It is a tricky result because if Malaga score in Dortmund, we will have to score twice," Kehl added.
Mario Goetze (twice), Marco Reus and Robert Lewandowski squandered golden opportunities to put Dortmund in the driving seat.
They also allowed Malaga, with goalkeeper Willy Caballero in outstanding form, to gradually claw their way back into the contest after the Spaniards were on the back foot in the early exchanges.
While the result may be disappointing for Dortmund, the Germans will take comfort from maintaining their status as the only unbeaten team left in the Champions League this season.
"If we knew before the game that we would play out a 0-0 draw, we would have signed up for that straight away," Goetze said. "But it is a bitter result for us after such a game.
"I missed two huge chances and I should have scored two goals," the Germany international added.
Dortmund's home record in the Champions League this season is impressive, however, after they beat Real Madrid, Manchester City and Ajax in the group stage and easily accounted for Shakhtar Donetsk in the round of 16.
With a first semi-final berth in 15 years on offer and the team's last remaining hope of winning silverware, Dortmund needed to improve in front of goal if they were to advance, coach Juergen Klopp said.
"I was very satisfied with one of the nils and not too dissatisfied with the other nil," Klopp told reporters. "Those who follow us know that we are capable of conceding goals out of nothing.
"But we do need to improve our finishing. In this competition, you can never advance as easily as a knife slicing through warm butter."
Klopp will have a full squad to call upon in the second leg with midfielder Jakub Blaszczykowski, who missed the game with a minor injury, expected to be fully fit.
Malaga, meanwhile, will be without centre back and captain Weligton and midfielder Manuel Iturra, who are both suspended for the return leg.
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