The 43-year-old former Spain international wrote on his Twitter account that he had been the victim of blackmail and that the case is being investigated by the police.
“I want to report that I am being the subject of a crime against my privacy with harassment and extortion,” Sanchez said. “The matter is in the hands of the police and I’m obliged to follow their instructions.
“I want to inform you that sharing or spreading intimate content of any person without consent is also a crime, either through social media or messages or in any other way, according to article 197 of the Criminal Code with penalties for those who share personal content without consent of the affected person.
“Thank you for your understanding and support.”
Malaga, which is 16th in Spain’s second tier, says it has suspended Sánchez until it completes a full investigation.
“We will disclose further information once the facts have been clarified.”