Wigan remain in the Premier League relegation zone with seven games left to save themselves, starting with a trip to reigning champions Manchester City on Wednesday.
"It's imperative we stay up," said Maloney.
"Obviously it's a major achievement to have reached the final but, it sounds pretty harsh, we are straight back in training and it's back to league business.
"We have a big game against Manchester City on Wednesday. We have to put the cup to the back of our minds for the next few weeks.
"We've got that massive game and then West Ham at the weekend so we are just going to have to forget about the cup."