Julio Baptista says Malaga's players are currently waiting to hear the club's owner Sheikh Abdullah Al-Thani's future plans for the club.
Al-Thani has had plenty to say recently on alleged "racism" and "corruption" in UEFA, but has been less forthcoming in public on his future commitment to the club which he initially bankrolled heavily before abruptly withdrawing financial support about 18 months ago.
Last month's decision by Andalucian authorities to remove the Qatari investor's concession to develop a marina in nearby Marbella has also lead to further speculation that his interest in Malaga has waned. It is thought further players such as Isco and Jeremy Toulalan will leave this summer to help pay bills due, while coach Manuel Pellegrini is also understood to be considering his future.
Baptista said he and his team-mates tried - as much as possible - to isolate themselves from such off-field matters and concentrate on playing football, but it would be nice if they were told what was going on.
"We are waiting on them, the directors, to decide things internally and tell us what they are going to do with the club in the future," Baptista. "We must keep to the side of what happens internally. It is difficult, but we must keep away from non-sporting matters, and focus on playing and trying to win points. The most important thing is what we are able to do out on the pitch."
Malaga are currently sixth in the Primera Division standings and set to finish in a Europa League qualifying spot. The one year European competition ban imposed last December by UEFA due to 'financial irregularities' such as players wages not being paid in full and on time would mean they cannot take up that place. However, that suspension is currently being appealed to the Court of Arbitration for Sport, with a verdict due in June.
Baptista suggested the players felt they still had a chance to play in Europe next term, and would compete until the end of the current season to finish as high as possible in the table.
"We must end the year well and not cover the good season we have had," he said. "We know that qualifying for the Champions League is getting further and further away. But it would be a pity not to get the points that are left so that we would qualify for Europe for next season. There is very little left now until the end, and we must press to be there."
The former Real Madrid attacker was speaking ahead of Malaga's La Liga trip to the Estadio Santiago Bernabeu on Wednesday evening.
"I am looking forward to going to the Bernabeu," he said. "It is more than five years since I was there, and I have a special love for Real Madrid. It will be a special game, but now I defend the colours of Malaga. I will do everything possible and impossible to get something there. I won a league title with Madrid [in 2007-08] and did not leave there badly. There are no reasons for the fans to receive me badly."