UEFA said the judging chamber of its Club Financial Control Body will deal with the case. Malaga faces having some of its Champions League prize money withheld.
Malaga, which is owned by a Qatari investor, has reportedly failed to pay players a combined 9 million ($11.6 million).
The Spanish club has qualified for the Champions League last 16 and is due at least 25 million ($32 million) in prize money and bonuses from UEFA.
UEFA says the judging panel will examine nine clubs from this season's Champions League and Europa League which have unpaid players' wages, transfer fees or social taxes. Sixteen clubs have been cleared.
Malaga faces UEFA action over unpaid player wages
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