Malaga, buttressed by one of the meanest defences in Europe, drew 0-0 with the German champions in the first leg of their quarter-final on Wednesday.
The Qatar-owned La Liga club travel to Germany for Tuesday's return match knowing that snatching an away goal at the imposing Westfalenstadion would turn the pressure on Dortmund.
Coach Manuel Pellegrini acknowledged that the absence of captain and centre back Weligton and midfielder Manuel Iturra, who will both be suspended for the second leg after picking up bookings on Wednesday, will be significant.
But the Chilean, who led unfancied Villarreal to the semi-finals on their debut in the competition in 2006, said the tie was "completely open".
"When you play the first leg at home you are always tense because of the obligation to attack and score," he told a news conference.
"You are also concerned not to concede an away goal and now they will have that problem," added the 59-year-old, who had a season in charge at Real Madrid before making way for Jose Mourinho.
"It was very important that we stopped them from scoring and we put in some very intense work," Pellegrini added.
"And we didn't achieve it sitting back, we also got into some good attacking positions."
While Dortmund had the clearer chances at the Rosaleda, Mario Goetze squandering two opportunities when he was clean through on goal, Malaga also came close to scoring.
Roman Weidenfeller had to be alert to keep out a rasping Isco drive in the second half and the Dortmund goalkeeper earlier produced a fine block on the line from Weligton's powerful downward header.
Malaga, fifth in La Liga, can boost their chances of qualifying for next season's Champions League with a win at fourth-placed Real Sociedad on Saturday.
However, their efforts may be in vain if their appeal against a ban from UEFA competition from next season over delayed payments to creditors fails.
Miguel Cardenal, Spain's secretary of state for sport who was at Wednesday's match, said the club were sorting out their finances.
"When it was necessary to tell Malaga to change things, they were told, but now they are on the right track and they have the full support (of the government)," Cardenal told Spanish television.
"These people deserve to be in Europe."