Rangers manager Ally McCoist has issued a hands-off warning after a newspaper report suggested Malaga were preparing a big for goalkeeper Allan McGregor.
McGregor made a fine save before Rangers opened the scoring in an eventual 4-0 win over Arbroath.
"Allan is a massive, massive part of our plans for the future," McCoist said after the Scottish Cup victory.
"And I can tell you right now that I certainly would not welcome any bids for Allan."
Malaga lie fifth in Spain's top flight after Saturday's 0-0 draw with Atletico Madrid.
The biting winds that often drift icily across Arbroath's Gayfield Park on the edges of the North Sea remained benign on this occasion as Rangers breezed into Monday's Scottish Cup draw.
Rangers were comfortable winners over the side sitting second in Division Two.
"Thankfully, the weather here wasn't too bad or maybe we would all be heading to Malaga," joked McCoist.
McCoist on Friday confirmed that Rangers had rejected an offer from French club Sochaux for United States midfielder Maurice Edu.
The 25-year-old shrugged off the speculation after helping Rangers into Monday's fifth-round draw.
"You are always going to have speculation around this time about players leaving and players coming in," Edu told Rangers' website.
"It's up to us as players to keep our heads and do what we are supposed to do, which is play on the field.
"We can't control what goes on from a club standpoint. All we can do is control what we do on the pitch.
"I'm just focused on playing. I'm enjoying myself right now.
"We want to go on and win the Scottish Cup and we are only two points behind in the league, so I'm focusing on getting wins."