The France international is believed to have had preliminary talks with Santos earlier this summer in regard to a potential move away from Stamford Bridge.
But while the 32-year-old midfielder does have South American ambitions, his contract with the Blues runs until 2013 and he has further goals with the Premier League club.
"I have always stated that I would like to go to Brazil," Malouda told L'Equipe.
"However, I still have one year remaining on my contract at Chelsea. Moreover, there is the FIFA Club World Cup in December."
Malouda has been at Chelsea since 2007, starring in the double-winning side of 2010 and coming on as a second-half substitute in their Champions League final triumph in May.