I thought the Telegram media auto downloads only for images/video files. So let's say even any files that auto-downloaded by telegram, are safe since they are media files (video or image) and that is impossible file could be infected by any malware?? I'm not sure.
It's the opposite. You should turn it off to avoid downloading malware embedded in pictures or videos. I saw dozens of news related to malware spreading through Telegram, from fake docx files to PDFs, so Telegram clearly won't protect you from that. Even if you use virustotal or something similar to scan the files there's no guarantee their database is updated to include the latest malware. I believe it's better to assume nothing is immune to malware attacks so you don't get blindsided. CMIIW.