La Liga side Malaga have conceded only three goals in nine European matches played at home.
Zenit St Petersburg have lost all four previous matches played in Spain.
Malaga finished fourth last season in La Liga, their highest ever in their history.
Zenit's only away from home came during the UEFA Champions League was at FC BATE Borisov in 2008/09.
Fabrice Olinga of Malaga became the youngest player to score in La Liga history aged 16 years and 98 days.
AC Milan vs Anderlecht
Seven time champions Milan take on Belgian side Anderlecht who have never won in Italy before.
Milan have gone on to win the title on both previous occasions they have met Anderlecht in the competition.
Milan are competing in the group stage of the competition for the 10th time in 11 seasons while Anderlecht enter the competition for the first time since 2006/07 and ninth overall.
Anderlecht's record against Italian opponents is W0 D5 L9.
This fixture will be Milan's 150th game in the UEFA Champions League, group stage to final.
Anderlecht have scored 47 UEFA Champions League goals but conceded 97.