Dortmund embrace 'favourites' tag ahead of PSV clash
"Are we the favourites? We're playing at home - I think we are," Malen told reporters, with Wednesday's tie evenly poised after a 1-1 draw in the Netherlands in February.
Alongside Porto, PSV are the last remaining team from outside the top five European leagues, but Peter Bosz's unbeaten side have played an incredible domestic season, dropping just six of a possible 75 points.
Dortmund, by contrast, have performed poorly in Germany but have impressed in the Champions League, qualifying first from a group featuring Paris Saint-Germain, AC Milan and Newcastle.
"Our season is not over yet" Dortmund coach Edin Terzic said Tuesday. "We've got a huge chance and we want to invest everything for it."
"We can go in with a good feeling tomorrow - we've earned that after some hard work in the first leg."
Malen moved to Dortmund from PSV in 2021 and has had his best season yet in Germany, scoring in the first leg.
The abolition of the away goals rule means the winner on Wednesday will progress, whether in regulation or extra time.
Malen told reporters: "We haven't been thinking about a penalty shootout, but of course we've been practicing."
Dortmund will be without injured striker Sebastien Haller and defender Nico Schlotterbeck, who is on a yellow card suspension. Veteran Mats Hummels is likely to step in.