The Qatar-owned La Liga club outperformed on their debut in the continent's elite club competition this term, falling to Borussia Dortmund in the quarter-finals after a campaign which included victories over the German team's fellow former winners AC Milan and Porto.
Malaga, who host Getafe on Sunday, are sixth with six games left, three behind fifth-placed Valencia and five adrift of surprise packages Real Sociedad, who occupy Spain's fourth and final Champions League berth.
"We are focused on finishing as high as possible and why should we be satisfied with the Europa League when we still have a chance of getting into the Champions League," Camacho said.
"This year we have experienced at first hand how great the competition is but of course it is better to be in Europe than end up with nothing," he added.
"We have to complete all the work we have done this season in the six matches we have left."
Even if they qualify, Malaga may not be able to take up their place as they have been banned from European competition next season due to financial irregularities.
The Costa del Sol club, whose owner Sheikh Abdullah Al Thani is a member of the Qatar royal family, have appealed to the Court of Arbitration for Sport and a decision is expected in mid-June.
"The team has worked extremely well for the whole season and finishing outside the European places would not be fair on us," Camacho said. "It's going to be a short but intense month and each game is crucial."