The 43-year-old ex-Spain midfielder said on his own Twitter feed (@Victor_SDA) that he had been the victim of harassment and blackmail and the matter was being dealt with by police.
He added that sharing or disseminating such content without the individual's consent was a crime.
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The club said in a statement: "In relation to the events that have recently been discovered, and which have not as yet been verified, Malaga CF immediately suspends coach Victor Sanchez del Amo from his duties until a full investigation is carried out."
"We will disclose further information once the facts have been clarified."
Malaga are 16th in the second division standings after 22 matches, a point above the relegation zone.
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