They're owned by a Sheikh, who's basically a but of an idiot.
Lost his head when Málaga were knocked out the QF of CL, by Dortmund (both goals were miles offside; as was Julio Baptista's second). Called UEFA Corrupt and they banned Málaga from Europe.
Then basically got caught in a Ponzi scheme thing, where he was scammed put of the club by Blue Bay Resorts (still ongoing, it's very messy), and finally he tried to build a big port in Marbella, and hoped his sway as owner of Málaga would work (he won the tender), but it all fell apart and he spat his dummy out, and Málaga subsequently have ended up on a shoestring string and been relegated to the regionals. (Since came back up thanks to a 127th minute goal).
Qsi established, al-Thani another Qatari billionaire with wise ideas.