The pair are in the final year of their Emirates contracts and are yet to make progress with Gunners boss Arsene Wenger over an extension in North London.
According to Brazilian journalist Bruno Andrade, Arsenal are in talks to sign 20-year-old Malcom from the Ligue 1 side.
"I posted last week that Arsenal came into the fray for former Corinthians [player] Malcom," he tweeted. "Today I hear that the conversations are progressing well."
Should Arsenal make a move for the Brazilian, they could face competition from Manchester United and Tottenham Hotspur, who have also been linked with the player.