The Costa del Sol. A millionaires’ playground where Ferraris roar through the streets and yachts the size of battleships lie berthed in the bay. A place where the old Milan, with all their wealth, success and superstar players, would have felt at home.

But stricken by poverty of funds off the field, and poverty of quality on it, the new Milan looked like imposters in Malaga last night. And they were treated as such by their hosts.

It's not that they were outclassed in part one of their Champions League double header with the club known as 'The Anchovies’, though.

Deployed in a bold new 3-4-3 formation, the Rossoneri actually started rather well at La Rosaleda. Once the back three of Philippe Mexes, Daniele Bonera and Francesco Acerbi had survived the first 10 minutes without conceding 10 goals – as most of us expected them to – Massimiliano Allegri's side began to make some promising excursions upfield.

Malaga were awarded a penalty shortly before half-time, but as Joaquin's spot kick soared over the bar, 'keeper Marco Amelia leapt to his feet, punching the air. It was the sort of break the Diavolo have been waiting on all season. Perhaps this is it, you dared to think, perhaps this is the moment when Allegri's Milan finally turn things around.

In the second half however, Malaga simply accelerated beyond them. It was like watching one of the aforementioned yachts going into cruise control, and leaving a rickety fishing boat in its wake.

The winning goal, scored by Joaquin after a sublime one-two with Manuel Iturra, was the Andalusians only clear cut chance, but it certainly wasn't against the run of play.

“We went a little too deep as time went on and were unable to be quite as dangerous on the counter attack,” said Bonera. “At times a three man defence becomes five.”

At full time Allegri did what he always does – put a brave face on it and went in search of positives. He didn't have to look too far, Milan had worked hard, defended well, created chances. But after six defeats in 11 competitive matches, it all begins to sound a bit hollow.

The sale of players in the summer has been a ready made excuse for the Rossoneri this season, but it wasn't available to them last night. Beset by financial problems and an irate Sheikh demanding to know where his money had gone, Malaga sold even more key players than Milan did, and at prices well below their true value.

Two clubs in very similar predicaments, but whereas the Italians have been demoralised and dysfunctional, the Spaniards’ crisis has galvanised and united them, the inspirational Manuel Pellegrini leading them to the upper echelons of La Liga and three wins from three in their debut Champions League campaign.

Vice-President Adriano Galliani continues to insist that Allegri is the man for Milan, even as rumours of Frank Rijkaard's arrival begin to swirl. The tactician's demise was foretold before the derby, the Lazio game and last night, yet still he clings to life.

Malaga's European heroics are described by Spanish paper Marca today as 'a never ending dream'. For Milan, this season is beginning to feel like a never ending nightmare.