And judging by this statement on his website, he is rather keen on joining them.
"It would enchant me to go to play with Malaga,'' said Wanchope.
"I would consent to join this club as it is a competitive team that plays in one of the best leagues in the world.
"It is actually the fourth time that Malaga have tried to sign me and that fills me with pride.
"I would like to go to play with Malaga, but the bosses of both clubs would have to reach an agreement.''
He added: "My contract expires in June of next year, but I would be able to sign a pre-contract agreement with another club in December 2004."
The 28-year-old, who has scored 29 goals in 59 starts for City, was signed by Joe Royle from West Ham for £3.65m just over four years ago.
And the Blues appear to have no objections to the player's departure.
"We are in discussions with Malaga about the possible transfer of Paulo Wanchope,'' said communications chief Paul Tyrrell.