England, who racked up 194-7 from 20 overs, needed to restrict the Black Caps to 174 and overtake their net run-rate to earn themselves a spot in the final, but New Zealand reached 192 with six wickets to spare to book their spot in Wednesday's finale.
New Zealand came to the crease determined to chase down England's target, and reached 78-1 following Colin Munro's excellent innings. The opener, who hit seven sixes, reached 50 runs from just 18 balls.
Opening partner Martin Guptill then took charge of the contest, reaching 62 before being bowled out by Malan. At 164-3, New Zealand were in control, and the Black Caps earned reached 174 - and booked their spot in the final - with two overs to spare.
England are back in action next Saturday with the first of five one-day internationals against New Zealand.