Police would not confirm Spanish media reports that the action was about a case in which Qatari owner Abdullah Bin Nasser Al-Thani is being sued by minority owners over alleged administrative irregularities.
Al-Thani took over the club in 2010. Málaga last month fired coach Víctor Sánchez del Amo after an intimate video was released online. The team from southern Spain is 16th in the 22-team second-division standings.
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