Lopez Muniz's side, who are seeking to bolster their firepower, have been keeping tabs on 19-year-old frontman Fernando Forestieri and the Egyptian international of late.
Malaga's negotiations over the Genoa man have reportedly reached a dead end, and thus Zaki has become their primary target for the time being.
Zaki, who spent last season at Wigan Athletic on a loan basis, is eager to have another spell at the Premier League.
But he also hailed the Spanish league as one of the fiercest football competitions in the world.
"In my opinion, the Premier League is the strongest in the world, while the Primera Liga comes second," Zaki told Egyptian TV early this month.
The well-built hitman hasn't received any solid bids from British clubs so far, therefore Malaga's reported overtures could appeal to him.
Zaki had an immaculate start to his adventure at the JJB Stadium last term, having notched 10 goals in the Premier League with Wigan.
He topped the elite competition's scoring charts for a while, but his level has deteriorated in the winter.
The Mansoura-born player was also accused of irresponsibility and lack of commitment by Steve Bruce, who was in charge of the Latics last season.