The Russian Premier League side travel to the Estadio La Rosaleda hoping to make a strong start to their Group C campaign.
But they will be without Belgian midfielder Axel Witsel because of a hamstring injury, while Zenit's other star signing Hulk should make his debut.
Spalletti said he was wary of the threat Malaga's experienced players – including Javier Saviola – would pose.
"Malaga's strengths are the experience," he said ahead of Tuesday's encounter.
"They have very experienced players such as (Martin) Demichelis, Saviola, (Ignacio) Camacho, (Nacho) Monreal. They are experienced and technically very strong."
Malaga have made a bright start to their La Liga campaign, sitting second behind Barcelona having gone unbeaten through four matches.
Zenit defender Bruno Alves said the 'dangerous' Malaga would cause his team problems in Spain.
"It's the first time they play in the Champions League but we know the work they make last year," he said.
"They are proving they are a good team this year also with the performances they have put in so we must take care because they are dangerous."
Malaga coach Manuel Pellegrini called for calm as he spoke of his respect for the Russian league champions.
"Zenit are the most dangerous rivals because they are our next opponents. They are here as champions of Russia and nobody has given them anything on a plate," he said.
"They are here with the same objectives as us. We will look to go out and win the game and if we manage that then we will look to win our second game in the group and edge closer to qualification.
"It is OK for our fans to be excited right now but my squad knows well that euphoria does not win matches."