The 0-0 result means Dortmund remain the only unbeaten team in the Champions League this season, while Malaga extended their unbeaten home record in Europe to 14 games.
Real Madrid advanced to the semi-finals on Wednesday after a 1-1 draw at Valencia saw Jose Mourinho's side progress 3-1 on aggregate.
Malaga heaped the pressure on embattled AC Milan coach Massimiliano Allegri after the Italian giants suffered a 1-0 defeat to the dominant Spanish side in the Champions League here on Wednesday.