The 24-year-old has signed a deal with the La Liga club until the end of the season.
Atsu, who was heavily linked with a move to Levante, has confirmed the news on Twitter:
Today I signed on loan with Málaga CF until the end of the season. I can’t wait to play for the team #Godisthereason pic.twitter.com/u43IsgS5Rr
— Christian Atsu (@ChristianAtsu20) January 25, 2016
The Ghana winger joined Chelsea from Porto in 2013 but spent most of his Blues career out on loan.