Cristiano Ronaldo headed Madrid in front during the first half but soon afterwards missed a penalty, and an impressive Malaga team deservedly equalised with a goal from on-loan from Derby County centre-back Raul Albentosa.
The result means Madrid are now nine points adrift of leaders Barcelona with 13 games still to play, having drawn two of their three away games since Zidane replaced Rafa Benitez as coach in January.
Real Madrid have never made up such a large deficit in their history, but Zidane told his postmatch news conference that the title was not out of reach.
“You might think La Liga is over but I do not, and the players do not either,” Zidane said. “It will be more difficult, as today we have lost two points, but we will never drop our hands. There are lots of points still to play for, so we will keep going. It is more difficult, as we have dropped two points.”
Asked about his team dispatching opponents with ease at the Estadio Santiago Bernabeu but struggling away from home, Zidane reminded reporters of Wednesday’s 2-0 Champions League win at Roma.
“Our last game in Champions was away from home, a difficult game, and we won it,” he said. “Today we had a similar game, a difficult game.
“We had chances to kill the game. We had chances to kill the game, we made lots of chances. But we could also have lost. You could think though at least we picked up one point today.”
“There are different moments in the season, and there is a long way to go in La Liga,” he said. “Other teams can also drop points. But I do not think about other teams.
“I think that we must keep going, whatever happens. We have prepared well this week, but I have to do my analysis of both my players and my own work.”
With Gareth Bale and Karim Benzema missing through injury, Zidane played Isco in his front three and only made two substitutions, even when his team required a late winner.
“Isco was not playing as a centre-forward, he was moving with Luka [Modric] and Mateo [Kovacic],” he said. “The idea was a lot of movement, and they did that.
“We made two changes, as sometimes, if you do not see something to change, you make that decision. It’s not a big deal