Malaga president Fernando Sanz revealed last week that the Primera Liga outfit tabled a bid for the 26-year-old, and later on the White Knights confirmed it.
Zaki, who spent last term at Wigan Athletic on a season-long loan, is in awe of Real Madrid's super summer signings, and he's eager to face the likes of Los Merengues and Barcelona.
"I like the idea of playing against Real Madrid with all its new stars at the Bernabeu and the same with the champions of Europe, Barcelona," Zaki told his official website on the phone from Switzerland.
“It gives you new challenge to pass.
"Malaga is a wonderful city, I've visited it many times. It's one of the most attractive cities I’ve ever been to."
Zaki's personal site added that Malaga are seeking to sign the robust hitman before the Peace Cup gets underway on July 24th.
Lopez Muniz's side will take on Premiership team Aston Villa and Mexico's Atlante on July 25th and 27th respectively in the biennial tournament.
Zaki is currently taking part in Zamalek's pre-season training camp. He scored in the Cairo giants' 2-0 friendly victory over UEFA Cup champions Shakhtar Donetsk on Sunday.